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Approximation of Zakai equation by the splitting up method

dc.contributor.authorBensoussan, Alain
dc.contributor.authorGlowinski, Roman
dc.date.accessioned2014-12-15T09:26:47Z
dc.date.available2014-12-15T09:26:47Z
dc.date.issued1989
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14427
dc.language.isoenen
dc.subjectZakai equationen
dc.subject.ddc515en
dc.titleApproximation of Zakai equation by the splitting up methoden
dc.typeCommunication / Conférence
dc.description.abstractenThe 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.en
dc.identifier.citationpages255-265en
dc.relation.ispartofseriestitleLecture Notes in Control and Information Sciencesen
dc.relation.ispartofseriesnumber136en
dc.relation.ispartoftitleStochastic Systems and Optimization Proceedings of the 6th IFIP WG 7.1 Working Conference Warsaw, Poland, September 12–16, 1988en
dc.relation.ispartofeditorZabczyk, Jerzy
dc.relation.ispartofpublnameSpringeren
dc.relation.ispartofpublcityBerlinen
dc.relation.ispartofdate1989
dc.relation.ispartofpages379en
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/BFb0002665en
dc.subject.ddclabelAnalyseen
dc.relation.ispartofisbn978-3-540-51619-4en
dc.relation.conftitle6th IFIP WG 7.1 Working Conferenceen
dc.relation.confdate1988-09
dc.relation.confcityVarsovieen
dc.relation.confcountryPologneen
dc.relation.forthcomingnonen
dc.identifier.doihttp://dx.doi.org/10.1007/BFb0002686en


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