Approximations to solutions of the zakai filtering equation

DOI10.1080/07362998908809174zbMath0685.60044OpenAlexW1966601420MaRDI QIDQ4735875

Robert J. Elliott, Roland Glowinski

Publication date: 1989

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998908809174

zbMATH Keywords

Zakai equationnonlinear filtering problemapproximation to solutions of the Zakai equationrepresentation of Brownian bridges

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (6)

Pathwise approximation and simulation for the Zakai filtering equation through operator splitting ⋮ Splitting-up spectral method for nonlinear filtering problems with correlation noises ⋮ Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises ⋮ A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification ⋮ Robustness of the nonlinear filter: the correlated case. ⋮ Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering

Cites Work

• Discretization and simulation of stochastic differential equations
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Stochastic partial differential equations and diffusion processes

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