arXiv Open Access 2023

The Gauss-Galerkin approximation method in nonlinear filtering

Fabien F. Campillo

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Abstrak

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.

Topik & Kata Kunci

math.NA math.PR

Penulis (1)

Fabien F. Campillo

Format Sitasi

APA MLA BibTeX

Campillo, F.F. (2023). The Gauss-Galerkin approximation method in nonlinear filtering. https://arxiv.org/abs/2303.15448

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Informasi Jurnal

Tahun Terbit: 2023
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓