Approximation of Zakai equation by the splitting up method
Bensoussan, Alain; Glowinski, Roman (1989), Approximation of Zakai equation by the splitting up method, in Zabczyk, Jerzy, Stochastic Systems and Optimization Proceedings of the 6th IFIP WG 7.1 Working Conference Warsaw, Poland, September 12–16, 1988, Springer : Berlin, p. 255-265. http://dx.doi.org/10.1007/BFb0002686
Type
Communication / ConférenceDate
1989Conference title
6th IFIP WG 7.1 Working ConferenceConference date
1988-09Conference city
VarsovieConference country
PologneBook title
Stochastic Systems and Optimization Proceedings of the 6th IFIP WG 7.1 Working Conference Warsaw, Poland, September 12–16, 1988Book author
Zabczyk, JerzyPublisher
Springer
Series title
Lecture Notes in Control and Information SciencesSeries number
136Published in
Berlin
ISBN
978-3-540-51619-4
Number of pages
379Pages
255-265
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 Zakaï equation. Using this approach one can decompose the numerical integration 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
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