Creator:

Nowak, Łukasz D. ; Pasławska-Południak, Monika ; Twardowska, Krystyna

Contributor:

Korbicz, Józef - red. ; Uciński, Dariusz - red.

Title:

On the convergence of the wavelet-galerkin method for nonlinear filtering

Group publication title:

AMCS, Volume 20 (2010)

Subject and Keywords:

Zakai equation ; Galerkin method ; wavelet basis ; Euler scheme

Abstract:

The aim of the paper is to examine the wavelet-Galerkin method for the solution of filtering equations. We use a waveletbiorthogonal basis with compact support for approximations of the solution. Then we compute the Zakai equation for ourfiltering problem and consider the implicit Euler scheme in time and the Galerkin scheme in space for the solution of theZakai equation. We give theorems on convergence and its rate. The method is numerically much more efficient than theclassical Galerkin method.

Publisher:

Zielona Góra: Uniwersytet Zielonogórski

Date:

2010

Resource Type:

artykuł

DOI:

10.2478/v10006-010-0007-5

Pages:

93-108

Source:

AMCS, Volume 20, Number 1 (2010) ; click here to follow the link

Language:

eng

Rights:

Biblioteka Uniwersytetu Zielonogórskiego