Published February 13, 2023 | Version v1
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The Gauss-Galerkin approximation method in nonlinear filtering

Campillo, Fabien
Other:
Mathématiques pour les Neurosciences (MATHNEURO) ; Inria Sophia Antipolis - Méditerranée (CRISAM) ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)

Description

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.

Abstract

Fabien Campillo. La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire. RAIRO M2AN, 20(2):203--223, 1986

Additional details

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Created:
February 22, 2023
Modified:
November 30, 2023