Semi-discretization of stochastic partial differential equations on rdby a Finite-element Technique A. Germani

DOI10.1080/17442508808833486zbMath0641.60051MaRDI QIDQ3782531

Alfredo Germani, Mauro Piccioni

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833486

zbMATH Keywords

Sobolev spaces; finite elements; Zakai equation; approximate filters

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)

Related Items

Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method, Pathwise approximation and simulation for the Zakai filtering equation through operator splitting, On the splitting-up method and stochastic partial differential equations, Space semi-discretisations for a stochastic wave equation, Solving SPDEs driven by colored noise: A chaos approach

Cites Work

• Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form
• Probability methods for approximations in stochastic control and for elliptic equations
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Continuous-time approximations for the nonlinear filtering problem
• Stochastic partial differential equations and diffusion processes
• On the optimal filtering of diffusion processes
• Stochastic evolution equations