Approximations to solutions of the zakai filtering equation
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Publication:4735875
DOI10.1080/07362998908809174zbMath0685.60044MaRDI QIDQ4735875
Robert J. Elliott, Roland Glowinski
Publication date: 1989
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362998908809174
Zakai equation; nonlinear filtering problem; approximation to solutions of the Zakai equation; representation of Brownian bridges
93E11: Filtering in stochastic control theory
60J65: Brownian motion
60G35: Signal detection and filtering (aspects of stochastic processes)
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