scientific article; zbMATH DE number 2086138

MaRDI QIDQ3044216zbMATH OpenFDO

Authors Krystyna Twardowska, Tomasz Marnik, M. Pasławska-Południak

Publication date 10 August 2004

Full work available at URL https://eudml.org/doc/207630

zbMATH Keywords

Galerkin techniquenonlinear filteringstochastic differential equations with delayZakai's equation

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Nonlinear systems in control theory (93C10) Control/observation systems governed by functional-differential equations (93C23) Filtering in stochastic control theory (93E11)

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(9)

• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation
• scientific article; zbMATH DE number 1583961 (Why is no real title available?)
• On the convergence of the wavelet-Galerkin method for nonlinear filtering
• Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
• Approximation of the Zakai Equation for Nonlinear Filtering
• Combination of the method of steps and an expansion of the state space for analyzing linear stochastic systems with various forms of delays and random inputs in the form of additive and multiplicative white noises
• Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
• Wong-Zakai approximation of stochastic Volterra integral equations

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