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

Łukasz Nowak; Monika Pasławska-Południak; Krystyna Twardowska

doi:10.2478/v10006-010-0007-5

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

International Journal of Applied Mathematics and Computer Science

Volume 20 (2010): Issue 1 (March 2010)

By: Łukasz Nowak, Monika Pasławska-Południak and Krystyna Twardowska

Open Access

|Mar 2010

Abstract

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

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DOI: https://doi.org/10.2478/v10006-010-0007-5 | Journal eISSN: 2083-8492 | Journal ISSN: 1641-876X

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Language: English

Page range: 93 - 108

Published on: Mar 25, 2010

Published by: University of Zielona Góra

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© 2010 Łukasz Nowak, Monika Pasławska-Południak, Krystyna Twardowska, published by University of Zielona Góra
This work is licensed under the Creative Commons License.

Volume 20 (2010): Issue 1 (March 2010)