Time-discretization of the Zakai equation for diffusion processes observed in correlated noise

Abstract : A time discretization scheme is provided for the Zakai equation, a stochastic PDE which gives the conditional law of a diffusion process observed in white-noise. The case where the observation noise and the state noise are correlated is considered. The numerical scheme is based on a Trotter-like product formula, which exhibits prediction and correction steps, and for which an error estimate of order d is proved, where d is the time discretization step. The correction step is associated with a degenerate second-order stochastic PDE, for which a representation result in terms of stochastic characteristics has been proved by Krylov-Rozovskii and Kunita. A discretization scheme is then provided to approximate these stochastic characteristics. Under an additional assumption on the correlation coefficient, an error estimate of order Öd is proved for the overall numerical scheme. This has been proved to be the best possible error estimate by Elliott-Glowinski.
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Rapport
[Research Report] RR-1222, INRIA. 1990
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https://hal.inria.fr/inria-00075336
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Soumis le : mercredi 24 mai 2006 - 17:59:55
Dernière modification le : samedi 27 janvier 2018 - 01:31:33
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Patrick Florchinger, François Le Gland. Time-discretization of the Zakai equation for diffusion processes observed in correlated noise. [Research Report] RR-1222, INRIA. 1990. 〈inria-00075336〉

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