Lie-trotter product formulas for nonlinear filtering
- 1 June 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 17 (4) , 313-337
- https://doi.org/10.1080/17442508608833395
Abstract
The nonlinear filtering problem for a diffusion process whose drift and diffusion coefficients depend parametrically on a finite-state jump process involves the solution of a vector system of linear, stochastic partial differential equations. A Lie-Trotter product formula is proven to hold for this system and a recursive implementation is discussed.Keywords
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