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

eigenfunction expansionalmost sure convergenceZakai equationGalerkin approximationstochastic partial differential equationapproximation solution

Mathematics Subject Classification ID

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

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(8)

• The discontinuous Galerkin method for stochastic differential equations driven by additive noises
• 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
• Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
• Pathwise approximation and simulation for the Zakai filtering equation through operator splitting
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
• Multilevel Monte Carlo method for parabolic stochastic partial differential equations

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