La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire

DOI10.1051/M2AN/1986200202031MaRDI QIDQ3757077zbMATHOpenAlexFDO

Authors F. Campillo

Publication date 1986

Published in ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/193474

zbMATH Keywords

Fokker-Planck equationnonlinear filtering problemGauss-Galerkin approximation

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

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• Matrix eigensystem routines. EISPACK guide extension
• Modified moments and Gaussian quadratures
• On Generating Orthogonal Polynomials
• Équations du filtrage non linéaire de la prédiction et du lissage

Cited in

(8)

• Simplified dynamical system for the gauss-galerkin method
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• An improved Gaussian approximate filtering method
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• On the convergence of the wavelet-Galerkin method for nonlinear filtering
• Comparison of three nonlinear filtering schemes
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