A small time approximation for the solution to the Zakai equation

DOI10.1007/S11118-021-09950-ZMaRDI QIDQ2687076zbMATH OpenOpenAlexFDO

Authors A. Lanconelli, Ramiro Scorolli

Publication date 1 March 2023

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.12416

zbMATH Keywords

Feynmn-Kac formulanonlinear filteringWick productZakai equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(12)

• Estimation of the density of the solution of the robust Zakaï equation
• The Feynman-Stratonovich semigroup and Stratonovich integral expansions in nonlinear filtering
• On the small time behavior of the nonlinear estimation problem for finite bandwidth signals
• scientific article; zbMATH DE number 4093343 (Why is no real title available?)
• scientific article; zbMATH DE number 29698 (Why is no real title available?)
• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• Approximations to solutions of the zakai filtering equation
• An approximation for the Zakai equation
• Effective filtering for slow-fast systems via Wong-Zakai approximation
• A small time approximation for the solution to the Zakai Equation
• A new numerical scheme for Itô stochastic differential equations based on Wick-type Wong-Zakai arguments
• Explicit convergence analyses of PDE-based filtering algorithms

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