Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
Fengshan Zhang,
Yongkui Zou,
Shimin Chai
et al.
Abstract:In this paper, we consider a nonlinear filtering model with observations driven by correlated Wiener processes and point processes. We first derive a Zakai equation whose solution is an unnormalized probability density function of the filter solution. Then, we apply a splitting-up technique to decompose the Zakai equation into three stochastic differential equations, based on which we construct a splitting-up approximate solution and prove its half-order convergence. Furthermore, we apply a finite difference m… Show more
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