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Approximation of Zakai equation by the splitting up method

  • Stochastic Control And Estimation
  • Conference paper
  • First Online:
Stochastic Systems and Optimization

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 136))

Abstract

The objective of this article is to apply an operator splitting method to the time integration of Zakaï equation. Using this approach one can decompose the numerical integration into a stochastic step and a deterministic one, both of them much simpler to handle than the original problem. A strong convergence theorem is given, in the spirit of existing results for deterministic problems.

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References

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Author information

Authors and Affiliations

  1. University of Paris Dauphine and INRIA, France

    A. Bensoussan

  2. University of Houston and INRIA, USA

    R. Glowinski

Authors
  1. A. Bensoussan
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  2. R. Glowinski
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Editor information

Jerzy Zabczyk

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© 1989 Springer-Verlag

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Bensoussan, A., Glowinski, R. (1989). Approximation of Zakai equation by the splitting up method. In: Zabczyk, J. (eds) Stochastic Systems and Optimization. Lecture Notes in Control and Information Sciences, vol 136. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0002686

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  • DOI: https://doi.org/10.1007/BFb0002686

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-51619-4

  • Online ISBN: 978-3-540-46719-9

  • eBook Packages: Springer Book Archive

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