Approximate McKean–Vlasov representations for a class of SPDEs

DOI10.1080/17442500902723575zbMath1211.60022arXivmath/0510668MaRDI 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 filtering; stochastic partial differential equation; Zakai equation; McKean-Vlasov equation; nonlinear diffusions; particle approximations; Kushner-Stratonovich equation

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

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

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

35R60: PDEs with randomness, stochastic partial differential equations

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Cites Work

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