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Approximation of the Zakaï Equation by the Splitting up Method

Bensoussan, Alain; Glowinski, Roman; Rascanu, A. (1990), Approximation of the Zakaï Equation by the Splitting up Method, SIAM Journal on Control and Optimization, 28, 6, p. 1420-1431. http://dx.doi.org/10.1137/0328074

Type
Article accepté pour publication ou publié
Date
1990
Journal name
SIAM Journal on Control and Optimization
Volume
28
Number
6
Publisher
SIAM
Pages
1420-1431
Publication identifier
Metadata
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Author(s)
Bensoussan, Alain

Glowinski, Roman

Rascanu, A.
Abstract (EN)
The objective of this article is to apply an operator splitting method to the time integration of the Zakaï equation. Using this approach the numerical integration can be decomposed into a stochastic step and a deterministic one, both of them much simpler to handle than the original problem. A strong convergence theorem is given, in the spirit of existing results for deterministic problems.
Subjects / Keywords
nonlinear filtering; fractional step methods; Zakaï equation