Title :
Approximation of stochastic evolution equations
Author_Institution :
Center for Res. in Sci. Comput., North Carolina State Univ., Raleigh, NC, USA
Abstract :
In this paper we consider the Ito´s stochastic differential equation in Hilbert spaces. We discuss and analyze several time-integration methods and higher order difference approximations. Applications to the Zakai equation and the Kushner equation in the nonlinear filtering problem are presented
Keywords :
Hilbert spaces; approximation theory; differential equations; filtering theory; integration; nonlinear filters; stochastic processes; Hilbert spaces; Kushner equation; Zakai equation; high-order difference approximations; nonlinear filtering problem; stochastic differential equation; stochastic evolution equation approximation; time-integration methods; Algebra; Density measurement; Differential equations; Filtering; Force measurement; Hilbert space; Indium tin oxide; Nonlinear equations; Signal processing; Stochastic processes;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.479237
