scientific article; zbMATH DE number 140599

zbMATH Open0761.60054MaRDI QIDQ4029026FDOQ4029026

Authors: François Le Gland 

Publication date: 28 March 1993

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stochastic flows of diffeomorphismsapproximating finite-state Markov processesapproximation of the Zakai equationsplitting-up 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)

Cited In (13)

• Explicit strong solutions of SPDE's with applications to nonlinear filtering
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• Observation sampling and quantisation for continuous-time estimators.
• Approximation of the Kushner Equation for Nonlinear Filtering
• Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering
• Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
• Corporate security prices in structural credit risk models with incomplete information
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Solving parabolic stochastic partial differential equations via averaging over characteristics
• Splitting scheme for backward doubly stochastic differential equations
• Monte Carlo methods for backward equations in nonlinear filtering
• An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
• Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises

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