A hybrid sparse-grid approach for nonlinear filtering problems based on adaptive-domain of the Zakai equation approximations
DOI10.1137/140952910zbMATH Open1343.60041OpenAlexW2051289763MaRDI QIDQ2938470FDOQ2938470
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
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Zakai equationsplitting-up methodnonlinear filtering problemslogarithmic approximationhybrid finite difference algorithmspace adaptive methodssparse-grid approximation
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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