An efficient Monte Carlo scheme for Zakai equations (Q6058696)

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scientific article; zbMATH DE number 7758890

Language	Label	Description	Also known as
English	An efficient Monte Carlo scheme for Zakai equations	scientific article; zbMATH DE number 7758890

Statements

scholarly article

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An efficient Monte Carlo scheme for Zakai equations (English)

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Sebastian Becker

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Patrick Cheridito

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Communications in Nonlinear Science and Numerical Simulation

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publication date

1 November 2023

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full work available at URL

https://arxiv.org/abs/2210.13530

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zbMATH Keywords

Zakai equation

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nonlinear filtering problems

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stochastic partial differential equations

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Doss-Sussmann transformation

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Feynman-Kac representation

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MaRDI profile type

MaRDI publication profile

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Non-linear filtering for distributed parameter systems having a small parameter

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The Hitchhiker's guide to nonlinear filtering

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On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications

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On the gap between deterministic and stochastic ordinary differential equations

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Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I

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Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.

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Pathwise Stochastic Control Problems and Stochastic HJB Equations

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Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

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Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation

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Convergence of a Branching Particle Method to the Solution of the Zakai Equation

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Discretization and Simulation of the Zakai Equation

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On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values

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A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations

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Identifiers

zbMATH Open document ID

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10.1016/j.cnsns.2023.107438

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6058696

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