Time discretization of nonlinear filtering equations
Le Gland, François
HAL, hal-00912070 / Harvested from HAL
Text on HAL
Some computable approximate expressions are provided for the conditional law of diffusion processes observed in continuous time. The numerical schemes are derived through an approximation of the original filtering problem. Given a partition of the time interval, this procedure consists of sampling the available observation sample path and approximating the a priori law of the diffusion process. The results in approximation schemes for the Zakai equation, for which a rate of convergence is provided
Publié le : 1989-12-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00912070,
     author = {Le Gland, Fran\c cois},
     title = {Time discretization of nonlinear filtering equations},
     journal = {HAL},
     volume = {1989},
     number = {0},
     year = {1989},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00912070}
}

Le Gland, François. Time discretization of nonlinear filtering equations. HAL, Tome 1989 (1989) no. 0, . http://gdmltest.u-ga.fr/item/hal-00912070/