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

  title={Time-discretization of the Zakai equation for diffusion processes observed in correlated noise},
  author={Patrick Florchinger and François Le Gland},
  journal={Lecture Notes in Control and Information Sciences},
  • P. FlorchingerF. Gland
  • Published 1 June 1991
  • Computer Science, Mathematics
  • Lecture Notes in Control and Information Sciences
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 δ is proved, where δ is the time discretization step. The correction step is associated with a… 

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