https://hal.inria.fr/hal-00912070Le Gland, FrançoisFrançoisLe GlandMEFISTO - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en AutomatiqueTime discretization of nonlinear filtering equationsHAL CCSD1989[MATH.MATH-PR] Mathematics [math]/Probability [math.PR]Le Gland, Francois2013-12-02 00:20:322022-02-04 03:08:582013-12-02 00:20:32enConference papers10.1109/CDC.1989.706501Some 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