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    Convergence of Implicit Discretion Schemes for Linear Differential Equations with Application to Filter.

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    No. of downloads: 347

    Date
    1986
    Author
    Piccioni, M.
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    Abstract
    This paper presents a generalization of results on convergence and robustness of discretization schemes for nonlinear filtering obtained by Kushner. This is made possible by a general theorem on the convergence of semigroups of operators on a Banach space, which gives sufficient conditions for a semidiscretization scheme to remain convergent, once the time is implicitly discretized. As a consequence, sufficient conditions can be given for selecting space discretizations of the state process generator to construct computable nonlinear filters converging to the optimal one.
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    http://hdl.handle.net/1903/4450
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