Time-discretization of the zakai equation for diffusion processes observed in correlated noise
Author:
Affiliation:
1. a Département de Mathématiques , Université de Metz , URA CNRS 399, He du Saulcy, Metz Cédex, France, F-57045
2. b INRIA Sophia-Antipolis , Route des Lucioles, Valbonne Cédex, France, F-06565
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442509108833704
Reference25 articles.
1. Discrete time Galerkin approximations to the nonlinear filtering solution
2. Continuous-time approximations for the nonlinear filtering problem
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