scientific article; zbMATH DE number 503102

MaRDI QIDQ4279409zbMATH OpenFDO

Authors Jing-Lin Jiang, Pao-Liu Chow, José-Luis Menaldi

Publication date 7 March 1994

zbMATH Keywords

almost sure convergenceapproximation solutioneigenfunction expansionGalerkin approximationstochastic partial differential equationZakai equation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

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(8)

• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• Modeling and computation of random thermal fluctuations and material defects in the Ginzburg-Landau model for superconductivity
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations
• The discontinuous Galerkin method for stochastic differential equations driven by additive noises
• Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
• Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

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