Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
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Publication:4363299
DOI10.1080/17442509608834046zbMath0912.60059OpenAlexW1987141392MaRDI QIDQ4363299
Amarjit Budhiraja, Gopinath Kallianpur
Publication date: 18 May 1999
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509608834046
nonlinear filteringZakai equationmultiple Stratonovich integralsmultiple Wiener integralsapproximation of the filter
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)
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