• DocumentCode
    2859140
  • Title

    Approximation of stochastic evolution equations

  • Author

    Ito, Kazufumi

  • Author_Institution
    Center for Res. in Sci. Comput., North Carolina State Univ., Raleigh, NC, USA
  • Volume
    4
  • fYear
    1995
  • fDate
    13-15 Dec 1995
  • Firstpage
    4035
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
  • Conference_Location
    New Orleans, LA
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-2685-7
  • Type

    conf

  • DOI
    10.1109/CDC.1995.479237
  • Filename
    479237
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2859140