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

DOI10.1137/110837395zbMATH Open1274.60129arXiv1303.0975OpenAlexW2154626663MaRDI QIDQ2855097FDOQ2855097

Authors: Rüdiger Frey, Thorsten Schmidt, Ling Xu 

Publication date: 24 October 2013

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

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.

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

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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)

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• Nonlinear filtering with correlated Lévy noise characterized by copulas
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• Kernel-based collocation methods for Zakai equations
• Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
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• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• A splitting method for nonlinear filtering problems with diffusive and point process observations
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• On convergence of splitting-up algorithm for stochastic partial differential equations with jump
• Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
• Nonparametric uncertainty quantification for stochastic gradient flows
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Perron–Frobenius Operator Filter for Stochastic Dynamical Systems

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