A powerful numerical technique solving Zakai equation for nonlinear filtering (Q1363315)
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scientific article; zbMATH DE number 1046297
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| English | A powerful numerical technique solving Zakai equation for nonlinear filtering |
scientific article; zbMATH DE number 1046297 |
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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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0.8835779428482056
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