A Wong-Zakai Approximation for Effective Filtering of a Class of Stochastic Evolutionary Equation
This work is concerned with a stochastic evolutionary equation with a mul-tiplicative noise.Verifying the convergence from the solution of the stochastic evolu-tionary equation to one of its Wong-Zakai approximation and applying the exponential martingale argument,the Kallianpur-Striebel formula and Itô formula,we prove that the nonlinear filter generated by the stochastic evolutionary equation converges to one generated by its Wong-Zakai approximation in the observation system with colored noise.
stochastic evolutionary equationWong-Zakai approximationnonlinear filterobservation system with colored noise
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