Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations

DOI10.1007/S10444-024-10169-WMaRDI QIDQ6601289FDOQ6601289

Authors: Fengshan Zhang, Yongkui Zou, Shimin Chai, Yanzhao Cao 

Publication date: 10 September 2024

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

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zbMATH Keywords

stochastic differential equationsdifference methodnonlinear filteringconvergence ordersplitting-up techniqueLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Jump processes on general state spaces (60J76)

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Cited In (1)

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

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