On the numerical solution of a class of parabolic stochastic PDEs

来源 :International Conference on Stochastic Partial Differential | 被引量 : 0次 | 上传用户:joey_don
下载到本地 , 更方便阅读
声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架
论文部分内容阅读
  Stochastic PDEs with multiplicative noise play a central role in the area of nonlinear filtering: A classical result shows that the condition al distribution of a partially observed diffussion has a version that is the solution of an SPDE with multiplicative noise.Whilst the qualit ative properties of these type of SPDEs are (mostly) understood,thei r numerical analysis is still in development.I will report on a class of "particle" methods for approximating the pathwise/strong solution of these SPDEs.
其他文献
会议
会议
会议
会议
  Ten sharp lower estimates of the first non-trivial eigenvalue of Laplacian on compact Riemannian manifolds are reviewed and compared.A general common estima
会议
  Let Χ(∈)t be a diffusion process on the unit circle S1 with generator L(∈)=1/(∈).L1+l2 where Lt(t,x),=bt(t,x)θxx are two diffusion generators for i=1,2
会议