scientific article; zbMATH DE number 140599

MaRDI QIDQ4029026zbMATH OpenFDO

Authors François Le Gland

Publication date 28 March 1993

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)

Recommendations

• Approximation of the Zakaï Equation by the Splitting up Method
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Approximation of the Zakai Equation for Nonlinear Filtering
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• On the splitting-up method and stochastic partial differential equations

Cited in

(13)

• Explicit strong solutions of SPDE's with applications to nonlinear filtering
• Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
• 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

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