An approximation for the Zakai equation (Q5956451)

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.