Ten lectures on wavelets
Approximation of the Zakai Equation for Nonlinear Filtering
SIAM Journal on Control and Optimization
A powerful numerical technique solving Zakai equation for nonlinear filtering
Dynamics and Control
Convergence of a branching particle method to the solution of the Zakai equation
SIAM Journal on Applied Mathematics
Composite wavelet bases for operator equations
Mathematics of Computation
Wavelet Discretizations of Parabolic Integrodifferential Equations
SIAM Journal on Numerical Analysis
Multiresolution weighted norm equivalences and applications
Numerische Mathematik
Real Time Solution of the Nonlinear Filtering Problem without Memory II
SIAM Journal on Control and Optimization
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The aim of the paper is to examine the wavelet-Galerkin method for the solution of filtering equations. We use a wavelet biorthogonal basis with compact support for approximations of the solution. Then we compute the Zakai equation for our filtering problem and consider the implicit Euler scheme in time and the Galerkin scheme in space for the solution of the Zakai equation. We give theorems on convergence and its rate. The method is numerically much more efficient than the classical Galerkin method.