An Approximation for the Zakai Equation
Journal Article
·
· Applied Mathematics and Optimization
In this article we consider a polygonal approximation to the unnormalized conditional measure of a filtering problem, which is the solution of the Zakai stochastic differential equation on measure space. An estimate of the convergence rate based on a distance which is equivalent to the weak convergence topology is derived. We also study the density of the unnormalized conditional measure, which is the solution of the Zakai stochastic partial differential equation. An estimate of the convergence rate is also given in this case.
- OSTI ID:
- 21067501
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 45; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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