A powerful numerical technique solving Zakai equation for nonlinear filtering

DOI10.1023/A:1008206719489zbMath0880.93052MaRDI QIDQ1363315

O. Diekmann

Publication date: 2 February 1998

Published in: Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

Galerkin method; nonlinear filtering; Zakai equation; Gaussian densities

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93C10: Nonlinear systems in control theory