A powerful numerical technique solving Zakai equation for nonlinear filtering

DOI10.1023/A:1008206719489MaRDI QIDQ1363315zbMATHOpenAlexFDO

Authors O. Diekmann

Publication date 2 February 1998

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

Full work available at URL https://doi.org/10.1023/a:1008206719489

zbMATH Keywords

Galerkin methodZakai equationnonlinear filteringGaussian densities

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

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(19)

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• Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
• A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification
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• Kernel-based collocation methods for Zakai equations
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• A splitting method for nonlinear filtering problems with diffusive and point process observations
• Solution of the Zakai equation by separation of variables
• Reduction of the Zakai equation by invariance group techniques
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• On the convergence of the wavelet-Galerkin method for nonlinear filtering
• Fractional generalizations of Zakai equation and some solution methods
• An efficient algorithm of Yau-Yau method for solving nonlinear filtering problems
• Approximation of the Zakai Equation for Nonlinear Filtering
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Perron–Frobenius Operator Filter for Stochastic Dynamical Systems
• A hybrid sparse-grid approach for nonlinear filtering problems based on adaptive-domain of the Zakai equation approximations

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