The Gauss-Galerkin approximation method in nonlinear filtering
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|