A Hybrid Sparse-Grid Approach for Nonlinear Filtering Problems Based on Adaptive-Domain of the Zakai Equation Approximations

DOI10.1137/140952910zbMath1343.60041MaRDI QIDQ2938470

Guannan Zhang, Yanzhao Cao, Feng Bao, Clayton G. Webster

Publication date: 14 January 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2a4622d65608a86e46183a8805f8eb7c39ebc6a4

zbMATH Keywords

Zakai equation; splitting-up method; nonlinear filtering problems; logarithmic approximation; hybrid finite difference algorithm; space adaptive methods; sparse-grid approximation

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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