The Gauss-Galerkin approximation method in nonlinear filtering

Published 14 Feb 2023 in math.NA, cs.NA, and math.PR | (2303.15448v1)

Abstract: We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the approximation is established. We finally present a numerical example.

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Authors (1)

Fabien F. Campillo

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