Approximation of the Zakai Equation for Nonlinear Filtering
- 1 March 1996
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 34 (2), 620-634
- https://doi.org/10.1137/s0363012993254783
Abstract
In this paper we consider numerical approximations of solutions to the Zakai equation. Time discretization based on the implicit Milshtein and Euler methods and Galerkin approximation in the spatial coordinates are investigated. Convergence and rate of convergence of approximation methods are established.Keywords
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