Approximate McKean–Vlasov representations for a class of SPDEs

DOI10.1080/17442500902723575zbMath1211.60022arXivmath/0510668OpenAlexW2005874252MaRDI QIDQ3585323

Jie Xiong, Dan Crisan

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0510668

zbMATH Keywords

nonlinear filteringstochastic partial differential equationZakai equationMcKean-Vlasov equationnonlinear diffusionsparticle approximationsKushner-Stratonovich equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (31)

A stochastic partial differential equation model for the pricing of mortgage-backed securities ⋮ Mean-field backward stochastic differential equations in general probability spaces ⋮ Convergence to the equilibria for self-stabilizing processes in double-well landscape ⋮ A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon ⋮ Maximum principle for mean-field SDEs under model uncertainty ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler ⋮ Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations ⋮ Singular kinetic equations and applications ⋮ Mean-field backward stochastic differential equations with subdifferential operator and its applications ⋮ Discrete-time mean-field stochastic \(H_2/H_\infty\) control ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Diffusion Map-based Algorithm for Gain Function Approximation in the Feedback Particle Filter ⋮ Indefinite mean-field type linear-quadratic stochastic optimal control problems ⋮ How to Avoid the Curse of Dimensionality: Scalability of Particle Filters with and without Importance Weights ⋮ Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations ⋮ On the consistency of ensemble transform filter formulations ⋮ McKean--Vlasov SDEs in Nonlinear Filtering ⋮ A dynamical systems framework for intermittent data assimilation ⋮ Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE ⋮ Discrete gradients for computational Bayesian inference ⋮ H_∞Control for Continuous-Time Mean-Field Stochastic Systems ⋮ Data assimilation: The Schrödinger perspective ⋮ Linear quadratic optimal control problems for mean-field backward stochastic differential equations ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain ⋮ Information upper bound for McKean–Vlasov stochastic differential equations ⋮ Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations ⋮ Controlled interacting particle algorithms for simulation-based reinforcement learning ⋮ Numerical solution for a class of SPDEs over bounded domains

Cites Work

• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• A Moran particle system approximation of Feynman-Kac formulae
• Particle representations for a class of nonlinear SPDEs
• A particle approximation of the solution of the Kushner-Stratonovitch equation
• On a robust version of the integral representation formula of nonlinear filtering
• Interacting particle systems approximations of the Kushner-Stratonovitch equation
• A survey of convergence results on particle filtering methods for practitioners
• On the optimal filtering of diffusion processes
• Stochastic Optimal Control with Noisy Observations †

This page was built for publication: Approximate McKean–Vlasov representations for a class of SPDEs