Title :
Time discretization of nonlinear filtering equations
Author :
Le Gland, François
Author_Institution :
INRIA Sophia-Antipolis, Valbonne, France
Abstract :
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
Keywords :
approximation theory; convergence; diffusion; filtering and prediction theory; Zakai equation; approximation schemes; conditional law; diffusion processes; nonlinear filtering equations; rate of convergence; time discretisation; Convergence; Diffusion processes; Filtering; Glands; Measurement standards; Nonlinear equations; Sampling methods; Signal processing; Time measurement; Yttrium;
Conference_Titel :
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location :
Tampa, FL
DOI :
10.1109/CDC.1989.70650
