A powerful numerical technique solving Zakai equation for nonlinear filtering (Q1363315)

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A powerful numerical technique solving Zakai equation for nonlinear filtering
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    A powerful numerical technique solving Zakai equation for nonlinear filtering (English)
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    2 February 1998
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    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.
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    nonlinear filtering
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    Galerkin method
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    Gaussian densities
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    Zakai equation
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