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Revision as of 15:27, 20 February 2024
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| English | Particle approximations for a class of stochastic partial differential equations |
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Particle approximations for a class of stochastic partial differential equations (English)
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29 January 2007
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This paper presents a particle approximation for a class of nonlinear stochastic partial differential equations, related to filtering problem where the signal noise and the observation noise are correlated. The author shows how to construct a good approximating particle system, using weighted approximation approach and the branching correction approach. The results are a generalization of his previous paper with \textit{T. Lyons} [Probab. Theory Relat. Fields 115, No.~4, 549--578 (1999; Zbl 0951.93068)].
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stochastic partial differential equations
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particle approximations
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nonlinear filtering
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