Hermite Spectral Method to 1-D Forward Kolmogorov Equation and Its Application to Nonlinear Filtering Problems

DOI10.1109/TAC.2013.2259975zbMath1369.60046arXiv1301.1403OpenAlexW3101921698MaRDI QIDQ5353360

Xue Luo, Stephen Shing-Toung Yau

Publication date: 8 September 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.1403

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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