Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
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Publication:4363299
DOI10.1080/17442509608834046zbMath0912.60059MaRDI QIDQ4363299
Amarjit Budhiraja, Gopinath Kallianpur
Publication date: 18 May 1999
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509608834046
nonlinear filtering; Zakai equation; multiple Stratonovich integrals; multiple Wiener integrals; approximation of the filter
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
60H05: Stochastic integrals
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