Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form
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Zakai equationcontinuity property of the solutionconvergence criteria for finite-dimensional Galerkin approximations
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)
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- A finitely additive white noise approach to nonlinear filtering
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- Dynamical systems and evolution equations. Theory and applications
- Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
- ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- On the optimal filtering of diffusion processes
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- Stochastic evolution equations
- Stochastic partial differential equations and filtering of diffusion processes
- Équations du filtrage non linéaire de la prédiction et du lissage
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- 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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