Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form

The Zakai equation for the unnormalized conditional density is derived as a mild stochastic bilinear differential equation on a suitableL2 space. It is assumed that the Markov semigroup corresponding to the state process isC0 on such space. This allows the establishment of the existence and uniqueness of the solution by means of general theorems on stochastic differential equations in Hilbert space. Moreover, an easy treatment of convergence conditions can be given for a general class of finite-dimensional approximations, including Galerkin schemes. This is done by using a general continuity result for the solution of a mild stochastic bilinear differential equation on a Hilbert space with respect to the semigroup, the forcing operator, and the initial state, within a suitable topology.

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