A Small Time Approximation for the Solution to the Zakai Equation

We propose a novel small time approximation for the solution to the Zakai equation from nonlinear filtering theory. We prove that the unnormalized filtering density is well described over short time intervals by the solution of a deterministic partial differential equation of Kolmogorov type; the observation process appears in a pathwise manner through the degenerate component of the Kolmogorov’s type operator. The rate of convergence of the approximation is of order one in the lenght of the interval. Our approach combines ideas from Wong-Zakai-type results and Wiener chaos approximations for the solution to the Zakai equation. The proof of our main theorem relies on the well-known Feynman-Kac representation for the unnormalized filtering density and careful estimates which lead to completely explicit bounds.