Thumbnail - Request a copy

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 / Conférence
Date
1989
Conference title
6th IFIP WG 7.1 Working Conference
Conference date
1988-09
Conference city
Varsovie
Conference country
Pologne
Book title
Stochastic Systems and Optimization Proceedings of the 6th IFIP WG 7.1 Working Conference Warsaw, Poland, September 12–16, 1988
Book author
Zabczyk, Jerzy
Publisher
Springer
Series title
Lecture Notes in Control and Information Sciences
Series number
136
Published in
Berlin
ISBN
978-3-540-51619-4
Number of pages
379
Pages
255-265
Publication identifier
Metadata
Show full item record
Author(s)
Bensoussan, Alain
Glowinski, Roman
Abstract (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
Zakai equation