Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
DOI10.1007/BF02575854zbMATH Open0819.65149OpenAlexW2085908373MaRDI QIDQ1346980FDOQ1346980
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
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stochastic partial differential equationsconvergencenumerical examplesoperator splitting methodspathwise approximationZakai filtering equation
Probabilistic methods, stochastic differential equations (65C99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Cites Work
- Approximation of some stochastic differential equations by the splitting up method
- Approximation of the Zakaï Equation by the Splitting up Method
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- Time-discretization of the zakai equation for diffusion processes observed in correlated noise
- Probability methods for approximations in stochastic control and for elliptic equations
- Discrete time Galerkin approximations to the nonlinear filtering solution
- Semi-discretization of stochastic partial differential equations on rdby a Finite-element Technique A. Germani
- Numerical studies in nonlinear filtering
- partially observed control of markov processes, I
- Conception d'algorithmes parallélisables et convergents de filtrage récursif non-linéaire
- Approximations to solutions of the zakai filtering equation
- La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (7)
- The discontinuous Galerkin method for stochastic differential equations driven by additive noises
- Approximation of the Kushner Equation for Nonlinear Filtering
- Semi-discretization of stochastic partial differential equations on rdby a Finite-element Technique A. Germani
- Splitting-up spectral method for nonlinear filtering problems with correlation noises
- Title not available (Why is that?)
- An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
- Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
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