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Displaying similar documents to “Monotonic limit properties for solutions of BSDEs with continuous coefficients.”

Approximation of the Zakai equation in a nonlinear filtering problem with delay

Krystyna Twardowska, Tomasz Marnik, Monika Pasławska-Południak (2003)

International Journal of Applied Mathematics and Computer Science

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A nonlinear filtering problem with delays in the state and observation equations is considered. The unnormalized conditional probability density of the filtered diffusion process satisfies the so-called Zakai equation and solves the nonlinear filtering problem. We examine the solution of the Zakai equation using an approximation result. Our theoretical deliberations are illustrated by a numerical example.

Donsker-type theorem for BSDEs.

Briand, Philippe, Delyon, Bernard, Mémin, Jean (2001)

Electronic Communications in Probability [electronic only]

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