We study an approximation scheme for a nonlinear filtering problem when the state process X is the solution of a stochastic delay diffusion equation and the observation process is a noisy function of X(s) for s is an element of [t - tau, t], where tau is a constant. The approximating state is the piecewise linear Euler-Maruyama scheme, and the observation process is a noisy function of the approximating state. The rate of convergence of this scheme is computed.

Calzolari, A., Florchinger, P., & Nappo, G. (2007). Convergence in nonlinear filtering for stochastic delay systems. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 46(5), 1615-1636 [10.1137/050646135].

Convergence in nonlinear filtering for stochastic delay systems

CALZOLARI, ANTONELLA;
2007-11

Abstract

We study an approximation scheme for a nonlinear filtering problem when the state process X is the solution of a stochastic delay diffusion equation and the observation process is a noisy function of X(s) for s is an element of [t - tau, t], where tau is a constant. The approximating state is the piecewise linear Euler-Maruyama scheme, and the observation process is a noisy function of the approximating state. The rate of convergence of this scheme is computed.
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - Probabilita' e Statistica Matematica
English
Con Impact Factor ISI
Conditional laws, strong approximation, stochastic delay differential equations, rate of convergence
Calzolari, A., Florchinger, P., & Nappo, G. (2007). Convergence in nonlinear filtering for stochastic delay systems. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 46(5), 1615-1636 [10.1137/050646135].
Calzolari, A; Florchinger, P; Nappo, G
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/26941
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