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 publiéDate
1990Journal name
SIAM Journal on Control and OptimizationVolume
28Number
6Publisher
SIAM
Pages
1420-1431
Publication identifier
Metadata
Show full item recordAbstract (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 equationRelated items
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