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Time discretization of nonlinear filtering equations

François Le Gland 1 
CRISAM - Inria Sophia Antipolis - Méditerranée
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
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François Le Gland. Time discretization of nonlinear filtering equations. Proceedings of the 28th IEEE Conference on Decision and Control, Tampa 1989, IEEE--CSS, Dec 1989, Tampa, United States. pp.2601-2606, ⟨10.1109/CDC.1989.70650⟩. ⟨hal-00912070⟩



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