Kernel-based collocation methods for Zakai equations
نویسندگان
چکیده
منابع مشابه
Kernel-based collocation methods for Zakai equations
Abstract We examine an application of the kernel-based interpolation to numerical solutions for Zakai equations in nonlinear filtering, and aim to prove its rigorous convergence. To this end, we find the class of kernels and the structure of collocation points explicitly under which the process of iterative interpolation is stable. This result together with standard argument in error estimation...
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versity A state process is described by either a discrete time Hilbert space valued process, or a stochastic differential equation in Hilbert space. The state is observed through a finite dimensional process. Using a change of measure and a Fusive theorem the Zakai equation is obtained in discrete or continuous time. A risk sensitive state estimate is also defined.
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ژورنال
عنوان ژورنال: Stochastics and Partial Differential Equations: Analysis and Computations
سال: 2019
ISSN: 2194-0401,2194-041X
DOI: 10.1007/s40072-019-00132-y