Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions

DOI10.1080/17442509608834046zbMath0912.60059OpenAlexW1987141392MaRDI QIDQ4363299

Amarjit Budhiraja, Gopinath Kallianpur

Publication date: 18 May 1999

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509608834046

zbMATH Keywords

nonlinear filteringZakai equationmultiple Stratonovich integralsmultiple Wiener integralsapproximation of the filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

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