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hal.structure.identifier
dc.contributor.authorBensoussan, Alain*
hal.structure.identifier
dc.contributor.authorGlowinski, Roman*
hal.structure.identifier
dc.contributor.authorRascanu, A.*
dc.date.accessioned2014-10-30T13:54:59Z
dc.date.available2014-10-30T13:54:59Z
dc.date.issued1990
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14100
dc.language.isoenen
dc.subjectnonlinear filteringen
dc.subjectfractional step methodsen
dc.subjectZakaï equationen
dc.subject.ddc515en
dc.titleApproximation of the Zakaï Equation by the Splitting up Methoden
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe objective of this article is to apply an operator splitting method to the time integration of the Zakaï equation. Using this approach the numerical integration can be decomposed 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.en
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol28en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate1990
dc.relation.isversionofjnlpages1420-1431en
dc.relation.isversionofdoihttp://dx.doi.org/10.1137/0328074en
dc.relation.isversionofjnlpublisherSIAMen
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
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hal.author.functionaut
hal.author.functionaut


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