Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises

DOI10.1007/S11424-023-1479-3MaRDI QIDQ6131013FDO

Authors Xue Luo, Ting Pan, Wenhui Dong

Publication date 3 April 2024

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

convergence analysisnonlinear filteringcorrelated noisessplitting-up algorithm

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Feedback control (93B52) Nonlinear systems in control theory (93C10)

Recommendations

• Approximation of the Zakaï Equation by the Splitting up Method
• scientific article; zbMATH DE number 140599
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting

Cites work

• A backward doubly stochastic differential equation approach for nonlinear filtering problems
• Approximation of the Zakaï Equation by the Splitting up Method
• Approximations to solutions of the zakai filtering equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Characteristics of degenerate second-order parabolic Ito equations
• Dynamical equations for optimal nonlinear filtering
• Feedback Particle Filter
• Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes
• Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
• Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
• Monte Carlo technique for prediction and filtering of non-linear stochastic processes
• On designing consistent extended Kalman filter
• On recent advance of nonlinear filtering theory: emphases on global approaches
• On the Absolute Continuity of Measures
• On the optimal filtering of diffusion processes
• Robust Kalman filtering for systems under norm bounded uncertainties in all system matrices and error covariance constraints
• Stochastic Optimal Control with Noisy Observations †
• Stochastic processes and filtering theory
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise

Cited in

(3)

• Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
• A splitting method for nonlinear filtering problems with diffusive and point process observations
• Multivariate feedback particle filter rederived from the splitting-up scheme

This page was built for publication: Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131013)