Numerical solutions for a class of SPDEs over bounded domains

DOI10.1051/proc:071916zbMath1255.60105MaRDI QIDQ5427545

Jie Xiong, Dan Crisan

Publication date: 20 November 2007

Published in: ESAIM: Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc:071916

zbMATH Keywords

nonlinear filtering; stochastic partial differential equation; particle system approximation; Kushner-FKK equation; diffusion with reflecting boundary

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60K35: Interacting random processes; statistical mechanics type models; percolation theory

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

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