Discretization and Simulation of the Zakai Equation

DOI10.1137/050623140zbMath1139.60034OpenAlexW2146636127MaRDI QIDQ5434659

Gilles Pagès, Huyên Pham, Emmanuel Gobet, Jacques Printems

Publication date: 7 January 2008

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050623140

zbMATH Keywords

Malliavin calculusstochastic partial differential equationsquantizationnonlinear filteringEuler schemeZakai equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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