Markov chain approximations to filtering equations for reflecting diffusion processes.

DOI10.1016/J.SPA.2003.10.013MaRDI QIDQ2574641zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Hongwei Long, Wei Sun

Publication date 29 November 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2003.10.013

zbMATH Keywords

nonlinear filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

Markov chain approximations to the Duncan-Mortensen-Zakai SPDE for the unnormalized density in the filtering problem on regular, bounded domains are studied. The signal process is a diffusion reflected on the boundary of a \(d\)-dimensional rectangle, with a symmetrizable generator. The approximating Markov chains are based on a wide band observation noise approximation, dividing the signal state space into cells and utilizing an empirical measure process estimation. The convergence of approximations to the conditional density has been proven and the computational efficiency of the method has been compared to previously developed branching particle filter and interacting particle filter methods by means of simulations.

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Cited in

(2)

• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
• Numerical solutions for a class of SPDEs over bounded domains

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