Convergence of Implicit Discretization Schemes for Linear Differential Equations with Application to Filtering.

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dc.contributor.authorPiccioni, M.en_US
dc.contributor.departmentISRen_US
dc.date.accessioned2007-05-23T09:34:18Z
dc.date.available2007-05-23T09:34:18Z
dc.date.issued1985en_US
dc.description.abstractThis paper presents a generalization of results on convergence and robustness of discretization schemes for nonlinear filtering proposed 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.en_US
dc.format.extent672796 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/1903/4402
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 1985-29en_US
dc.titleConvergence of Implicit Discretization Schemes for Linear Differential Equations with Application to Filtering.en_US
dc.typeTechnical Reporten_US

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