A hybrid sparse-grid approach for nonlinear filtering problems based on adaptive-domain of the Zakai equation approximations

DOI10.1137/140952910MaRDI QIDQ2938470zbMATH OpenOpenAlexFDO

Authors Feng Bao, Yanzhao Cao, Guannan Zhang, 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 equationsplitting-up methodnonlinear filtering problemslogarithmic approximationhybrid finite difference algorithmspace adaptive methodssparse-grid approximation

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• A backward doubly stochastic differential equation approach for nonlinear filtering problems
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