Pathwise approximation and simulation for the Zakai filtering equation through operator splitting (Q1346980): Difference between revisions

Convergence results of operator splitting methods for stochastic partial differential equations are usually stated in terms of \(L^ 2\)- convergence. Here the finite-dimensional Zakai equation is approximated by operator splitting over \(0 \leq \Delta < \cdots < N \Delta = T\). The approximation has the order \(O(\Delta^{1/2 - \varepsilon})\) \((\varepsilon \in ]0, {1 \over 2} \tau])\) with probability 1. Six numerical examples are studied.