Pathwise approximation and simulation for the Zakai filtering equation through operator splitting

DOI10.1007/BF02575854MaRDI QIDQ1346980zbMATH OpenOpenAlexFDO

Authors V. Pereyra

Publication date 5 September 1995

Published in Calcolo (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02575854

zbMATH Keywords

convergencenumerical examplesoperator splitting methodspathwise approximationstochastic partial differential equationsZakai filtering equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99)

Review text

Convergence results of operator splitting methods for stochastic partial differential equations are usually stated in terms of \(L^ 2\)- convergence. Here the finite-dimensional Zakai equation is approximated by operator splitting over \(0 \leq \Delta < \cdots < N \Delta = T\). The approximation has the order \(O(\Delta^{1/2 - \varepsilon})\) \((\varepsilon \in ]0, {1 \over 2} \tau])\) with probability 1. Six numerical examples are studied.

Recommendations

• Approximations to solutions of the zakai filtering equation
• scientific article; zbMATH DE number 2086138
• Approximation of the Zakai Equation for Nonlinear Filtering
• A powerful numerical technique solving Zakai equation for nonlinear filtering
• scientific article; zbMATH DE number 1222785
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• scientific article; zbMATH DE number 1583961
• Pathwise approximations for the solution of the non-linear filtering problem
• scientific article; zbMATH DE number 2124890

Cites work

• Approximation of some stochastic differential equations by the splitting up method
• Approximation of the Zakaï Equation by the Splitting up Method
• Approximations to solutions of the zakai filtering equation
• Conception d'algorithmes parallélisables et convergents de filtrage récursif non-linéaire
• Discrete time Galerkin approximations to the nonlinear filtering solution
• scientific article; zbMATH DE number 4059255 (Why is no real title available?)
• scientific article; zbMATH DE number 503102 (Why is no real title available?)
• La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire
• Numerical studies in nonlinear filtering
• partially observed control of markov processes, I
• Probability methods for approximations in stochastic control and for elliptic equations
• Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise

Cited in

(7)

• An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
• The discontinuous Galerkin method for stochastic differential equations driven by additive noises
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani
• scientific article; zbMATH DE number 140599 (Why is no real title available?)
• Approximation of the Kushner Equation for Nonlinear Filtering
• Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises

This page was built for publication: Pathwise approximation and simulation for the Zakai filtering equation through operator splitting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1346980)