An approximation for the Zakai equation

DOI10.1007/S00245-001-0024-8MaRDI QIDQ5956451zbMATH OpenOpenAlexFDO

Authors Yaozhong Hu, Gopinath Kallianpur, Jie Xiong

Publication date 4 December 2002

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-001-0024-8

zbMATH Keywords

filteringstochastic differential equationweak convergenceZakai equation

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

Review text

This article presents a polygonal approximation to the unnormalized conditional measure of a filtering problem, which is the solution of the Zakai stochastic differential equation on measure space. The Kallianpur-Striebel formula is applied to the filtering, and the Feynman-Kac formula is applied to the approximation. An estimate of the convergence rate based on a distance which is equivalent to the weak convergence topology is derived. The density of the unnormalized conditional measure which is the solution of the Zakai stochastic partial differential equation is studied. An estimate of the convergence rate is also given in this case.

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