On Galerkin approximations for the Zakai equation with diffusive and point process observations

DOI10.1137/110837395MaRDI QIDQ2855097zbMATH OpenOpenAlexFDO

Authors Rüdiger Frey, Thorsten Schmidt, Ling Xu

Publication date 24 October 2013

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.0975

zbMATH Keywords

point processesHermite polynomialsZakai equationGalerkin approximationstochastic filtering

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper studies Galerkin approximations applied to the Zakai equation of stochastic filtering. The basic idea of this approach is to project the infinite-dimensional Zakai equation onto some finite-dimensional subspace generated by smooth basis functions; this leads to a finite-dimensional system of stochastic differential equations that can be solved numerically. The contribution of the paper is twofold. On the theoretical side, existing convergence results are extended to filtering models with observations of point-process or mixed type. On the applied side, various issues related to the numerical implementation of the method are considered; in particular, we propose to work with a subspace that is constructed from a basis of Hermite polynomials. The paper closes with a numerical case study.

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