Semi-discretization of stochastic partial differential equations on rdby a Finite-element Technique A. Germani

DOI10.1080/17442508808833486zbMath0641.60051OpenAlexW2094534023MaRDI QIDQ3782531

Alfredo Germani, Mauro Piccioni

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833486

zbMATH Keywords

Sobolev spacesfinite elementsZakai equationapproximate filters

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)

Related Items

Pathwise approximation and simulation for the Zakai filtering equation through operator splitting, On the splitting-up method and stochastic partial differential equations, The numerical approximation of stochastic partial differential equations, Solving SPDEs driven by colored noise: A chaos approach, Numerical multi-scaling method to solve the linear stochastic partial differential equations, Space semi-discretisations for a stochastic wave equation, Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method

Cites Work

• Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form
• Probability methods for approximations in stochastic control and for elliptic equations
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Continuous-time approximations for the nonlinear filtering problem
• Stochastic partial differential equations and diffusion processes
• On the optimal filtering of diffusion processes
• Stochastic evolution equations