COMPUTATIONAL ASPECTS OF THE NONLINEAR FILTRATION PROBLEM

The present article considers the phenomenon of stiffness, a phenomeno n that is well known for dynamical systems. It often arises in the non linear filtration problem and is responsible for the failure in the st ability of numerical methods applied in the integration of equations o f quasioptimal estimation. A method is developed by means of which thi s phenomenon may be eliminated. The method also guarantees a required degree of stability of the numerical methods employed here and greatly increases the length of the integration step.