Numerical solution for a class of SPDEs over bounded domains

DOI10.1080/17442508.2013.819510MaRDI QIDQ2875277zbMATH OpenOpenAlexFDO

Authors Dan Crisan, Jie Xiong

Publication date 14 August 2014

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2013.819510

zbMATH Keywords

diffusionsinteracting particle systemsKushner-FKK equationnonlinear filteringreflecting boundarystochastic partial differential equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Numerical solutions to stochastic differential and integral equations (65C30) Filtering in stochastic control theory (93E11)

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Cites work

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Cited in

(9)

• Particle representations for stochastic partial differential equations with boundary conditions
• A branching particle system approximation for a class of FBSDEs
• scientific article; zbMATH DE number 1583966 (Why is no real title available?)
• On a class of SPDEs called Brownian particle equation model for nonlinear diffusions
• scientific article; zbMATH DE number 7027638 (Why is no real title available?)
• scientific article; zbMATH DE number 780705 (Why is no real title available?)
• Numerical solutions for a class of SPDEs over bounded domains
• Numerical approximation of nonlinear SPDE's
• A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure

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