A powerful numerical technique solving Zakai equation for nonlinear filtering

DOI10.1023/A:1008206719489zbMATH Open0880.93052OpenAlexW179920635MaRDI QIDQ1363315FDOQ1363315

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

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zbMATH Keywords

Galerkin methodZakai equationnonlinear filteringGaussian densities

Mathematics Subject Classification ID

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

Cited In (19)

• A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification
• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• Approximation of the Zakai Equation for Nonlinear Filtering
• Solution of the Zakai equation by separation of variables
• Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
• Title not available (Why is that?)
• Kernel-based collocation methods for Zakai equations
• Fractional generalizations of Zakai equation and some solution methods
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• A hybrid sparse-grid approach for nonlinear filtering problems based on adaptive-domain of the Zakai equation approximations
• A splitting method for nonlinear filtering problems with diffusive and point process observations
• On Galerkin approximations for the Zakai equation with diffusive and point process observations
• On the convergence of the wavelet-Galerkin method for nonlinear filtering
• An efficient algorithm of Yau-Yau method for solving nonlinear filtering problems
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Title not available (Why is that?)
• Reduction of the Zakai equation by invariance group techniques
• Nonparametric uncertainty quantification for stochastic gradient flows
• Perron–Frobenius Operator Filter for Stochastic Dynamical Systems

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