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Pathwise approximation and simulation for the Zakai filtering equation through operator splitting |
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| Authors: | M Sun R Glowinski |
| Affiliation: | (1) Department of Mathematics, The University of Alabama-University, 35487, AL, USA;(2) Department of Mathematics, University of Houston, 4800 Calhoun Road, 77004 Houston, TX, USA |
| Abstract: | Pathwise approximate solutions to the Zakai nonlinear filtering equation are analyzed and computed through operator splitting techniques. Several examples are presented to test the performances of the operator splitting algorithms. The work of R. Glowinski was supported by the U.S. Army Research Office under Contract DAAL03-86-K-0138 and by NSF via Grant INT-8612680. |
| Keywords: | Pathwise approximation Nonlinear filtering equation Operator splitting |
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