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Approximation of Zakai equation by the splitting up method

Bensoussan, Alain; Glowinski, Roman (1989), Approximation of Zakai equation by the splitting up method, dans 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
Titre du colloque
6th IFIP WG 7.1 Working Conference
Date du colloque
1988-09
Ville du colloque
Varsovie
Pays du colloque
Pologne
Titre de l'ouvrage
Stochastic Systems and Optimization Proceedings of the 6th IFIP WG 7.1 Working Conference Warsaw, Poland, September 12–16, 1988
Auteurs de l’ouvrage
Zabczyk, Jerzy
Éditeur
Springer
Titre de la collection
Lecture Notes in Control and Information Sciences
Numéro dans la collection
136
Ville d’édition
Berlin
Isbn
978-3-540-51619-4
Nombre de pages
379
Pages
255-265
Identifiant publication
Métadonnées
Afficher la notice complète
Auteur(s)
Bensoussan, Alain
Glowinski, Roman
Résumé (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.
Mots-clés
Zakai equation