Approximation of the Zakai equation for nonlinear filtering

被引：39

作者：

Ito, K

机构：

[1] Ctr. for Res. in Sci. Computation, North Carolina State University, Raleigh

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1996年 / 34卷 / 02期

关键词：

Zakai equation; numerical approximations;

D O I：

10.1137/S0363012993254783

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 [计算机科学与技术];

摘要：

In this paper we consider numerical approximations of solutions to the Zakai equation. Time discretization based on the implicit Milshtein and Euler methods and Galerkin approximation in the spatial coordinates are investigated. Convergence and rate of convergence of approximation methods are established.

引用

页码：620 / 634

页数：15

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