Time-discretization of the zakai equation for diffusion processes observed in correlated noise
From MaRDI portal
Publication:3353897
DOI10.1080/17442509108833704zbMath0729.60036OpenAlexW3021064114MaRDI QIDQ3353897
Patrick Florchinger, François Le Gland
Publication date: 1991
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00075336/document
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items
PARTICLE FILTERS IN A MULTISCALE ENVIRONMENT: WITH APPLICATION TO THE LORENZ-96 ATMOSPHERIC MODEL, Pathwise approximation and simulation for the Zakai filtering equation through operator splitting, An Exponential Wagner--Platen Type Scheme for SPDEs, A branching particle system approximation for nonlinear stochastic filtering, Spectral Bayesian estimation for general stochastic hybrid systems, Splitting-up spectral method for nonlinear filtering problems with correlation noises, On the splitting-up method and stochastic partial differential equations, Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises, Perron–Frobenius Operator Filter for Stochastic Dynamical Systems, Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method, A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification, A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems, Convergence for a Splitting-Up Scheme for the 3D Stochastic Navier-Stokes-α Model, On the splitting-up method for rough (partial) differential equations, Robustness of the nonlinear filter: the correlated case., Backward SDEs for control with partial information, On the anticipative nonlinear filtering problem and its stability, A Milstein scheme for SPDEs
