APPROXIMATION OF THE ZAKAI EQUATION BY THE SPLITTING UP METHOD

被引：49

作者：

BENSOUSSAN, A

GLOWINSKI, R

RASCANU, A

机构：

[1] INST NATL RECH INFORMAT & AUTOMAT,F-78150 LE CHESNAY,FRANCE

[2] UNIV AL I CUZA,IASI,ROMANIA

[3] UNIV HOUSTON,DEPT MATH,HOUSTON,TX 77004

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1990年 / 28卷 / 06期

关键词：

D O I：

10.1137/0328074

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The objective of this article is to apply an operator splitting method to the time integration of the Zakai equation of nonlinear filtering. 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.

引用

页码：1420 / 1431

页数：12

共 8 条

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ELLIOTT, RJ
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[J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 1989, 7 (02) : 145 - 168
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[6] Marchuk GI., 1975, METHODS NUMERICAL MA
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