Discrete time Galerkin approximations to the nonlinear filtering solution

DOI10.1016/0022-247X(85)90299-9zbMath0591.65096MaRDI QIDQ1075039

Jocelyn Freitas Bennaton

Publication date: 1985

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

rate of convergencefinite elementfilteringRunge-KuttaGalerkinMarkov diffusion processZakai formula

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

Observation sampling and quantisation for continuous-time estimators. ⋮ Mean square convergent three points finite difference scheme for random partial differential equations ⋮ Pathwise approximation and simulation for the Zakai filtering equation through operator splitting ⋮ The numerical approximation of stochastic partial differential equations ⋮ Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani ⋮ Solving SPDEs driven by colored noise: A chaos approach ⋮ Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method ⋮ Approximations to solutions of the zakai filtering equation

Cites Work

• Dynamical equations for optimal nonlinear filtering
• Ein Kriterium für die Quasi-Optimalität des Titzschen Verfahrens
• Stochastic partial differential equations and filtering of diffusion processes
• Implicit Runge-Kutta Processes
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