Kouritzin, Michael A.; Long, Hongwei; Sun, Wei - In: Stochastic Processes and their Applications 110 (2004) 2, pp. 275-294
Herein, we consider direct Markov chain approximations to the Duncan-Mortensen-Zakai equations for nonlinear filtering problems on regular, bounded domains. For clarity of presentation, we restrict our attention to reflecting diffusion signals with symmetrizable generators. Our Markov chains are...