On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations

DOI10.1137/110837395zbMath1274.60129arXiv1303.0975OpenAlexW2154626663MaRDI QIDQ2855097

Ling Xu, Rüdiger Frey, Thorsten Schmidt

Publication date: 24 October 2013

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.0975

zbMATH Keywords

Hermite polynomialspoint processesGalerkin approximationZakai equationstochastic filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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