Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form (Q579749): Difference between revisions

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Latest revision as of 11:12, 18 June 2024

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Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form
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    Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form (English)
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    1987
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    In this paper, the authors establish a mild form of the Zakai equation for the unnormalized density in the uncorrelated filtering theory setting. Under suitable assumptions on the signal process, a continuity property of the solution with respect to the initial state, the semi- group and the forcing operator is proved. This provides convergence criteria for finite-dimensional Galerkin approximations involving only the linear deterministic part of the Zakai equation.
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    Zakai equation
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    continuity property of the solution
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    convergence criteria for finite-dimensional Galerkin approximations
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