Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations

Abstract

Abstract In this paper, we consider a nonlinear filtering model with observations driven by correlated Wiener processes and point processes. We first derive a Zakai equation whose solution is an unnormalized probability density function of the filter solution. Then, we apply a splitting-up technique to decompose the Zakai equation into three stochastic differential equations, based on which we construct a splitting-up approximate solution and prove its half-order convergence. Furthermore, we apply a finite difference method to construct a time semi-discrete approximate solution to the splitting-up system and prove its half-order convergence to the exact solution of the Zakai equation. Finally, we present some numerical experiments to demonstrate the theoretical analysis.