Approximation of the Kushner Equation for Nonlinear Filtering

Authors:
Kazufumi Ito;Boris Rozovskii
Affiliations:
-;-
Venue:
SIAM Journal on Control and Optimization
Year:
2000

Citing 0
Cited 4

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Abstract

In this paper we discuss the well-posedness and approximation of solutions to the Kushner equation in nonlinear filtering problems. We develop and analyze a time integration method based on the operator splitting. Also, we discuss its relation to the operator-splitting method for the Zakai equation.