Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form

DOI10.1007/BF01442185zbMATH Open0625.60050MaRDI QIDQ579749FDOQ579749

Authors: A. Germani, Mauro Piccioni 

Publication date: 1987

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

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zbMATH Keywords

Zakai equationcontinuity property of the solutionconvergence criteria for finite-dimensional Galerkin approximations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Cites Work

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• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• On the path regularity of a stochastic process in a hilbert space, defined by the ito integral
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Cited In (12)

• On extending classical filtering equations
• Approximation of the Zakai Equation for Nonlinear Filtering
• Title not available (Why is that?)
• Second Order Minimum Energy Filtering on $${\text {SE}}_{3}$$ with Nonlinear Measurement Equations
• Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani
• Title not available (Why is that?)
• A state predictor for continuous-time stochastic systems
• Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems
• Corporate security prices in structural credit risk models with incomplete information
• On Galerkin approximations for the Zakai equation with diffusive and point process observations
• Finite-dimensional filters with nonlinear drift. VI: Linear structure of \(\Omega\)
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness

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