A Hybrid Sparse-Grid Approach for Nonlinear Filtering Problems Based on Adaptive-Domain of the Zakai Equation Approximations

DOI10.1137/140952910zbMath1343.60041OpenAlexW2051289763MaRDI QIDQ2938470

Guannan Zhang, Yanzhao Cao, Feng Bao, Clayton G. Webster

Publication date: 14 January 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2a4622d65608a86e46183a8805f8eb7c39ebc6a4

zbMATH Keywords

Zakai equationsplitting-up methodnonlinear filtering problemslogarithmic approximationhybrid finite difference algorithmspace adaptive methodssparse-grid approximation

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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