A powerful numerical technique solving Zakai equation for nonlinear filtering
type: Item
instance of: scholarly article
title: A powerful numerical technique solving Zakai equation for nonlinear filtering
zbMATH Open document ID: 0880.93052
DOI: 10.1023/A:1008206719489
author: O. Diekmann
published in: Dynamics and Control
publication date: 1998-02-02T00:00:00Z
review text: Using the Galerkin method based on a sequence of Gaussian densities, the authors reduce the problem of constructing solutions to the Zakai equation to solving a system of ordinary stochastic differential equations.
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93B40
Mathematics Subject Classification ID: 93C10
zbMATH DE Number: 1046297
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: Galerkin method
zbMATH Keywords: Gaussian densities
zbMATH Keywords: Zakai equation
reviewed by: Grigori N. Milstein
MaRDI profile type: Publication
full work available at URL: a:1008206719489
OpenAlex ID: W179920635
description: scientific article; zbMATH DE number 1046297