DocumentCode
2094697
Title
Time discretization of nonlinear filtering equations
Author
Le Gland, François
Author_Institution
INRIA Sophia-Antipolis, Valbonne, France
fYear
1989
fDate
13-15 Dec 1989
Firstpage
2601
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location
Tampa, FL
Type
conf
DOI
10.1109/CDC.1989.70650
Filename
70650
Link To Document