On the Convergence Analysis of Yau-Yau Nonlinear Filtering Algorithm: from a Probabilistic Perspective

MaRDI QIDQ6534101arXivFDO

Authors Zeju Sun, Xiu Qiong Chen, Stephen Yau

Published in arXiv

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Filtering in stochastic control theory (93E11)

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