The Gauss-Galerkin approximation method in nonlinear filtering
Numerical Analysis
2023-03-29 v1 Numerical Analysis
Probability
Abstract
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.
Cite
@article{arxiv.2303.15448,
title = {The Gauss-Galerkin approximation method in nonlinear filtering},
author = {Fabien F. Campillo},
journal= {arXiv preprint arXiv:2303.15448},
year = {2023}
}