Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
convergence analysiscorrelated noisestochastic partial differential equation (SPDE)Hermite-Galerkin spectral method (HGSM)nonlinear filtering (NLF)
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Control/observation systems governed by partial differential equations (93C20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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- Stochastic evolution systems. Linear theory and applications to non-linear filtering
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