An efficient Monte Carlo scheme for Zakai equations

DOI10.1016/j.cnsns.2023.107438zbMath1529.93103arXiv2210.13530OpenAlexW4385190756MaRDI QIDQ6058696

Christian Beck, Ariel Neufeld, Patrick Cheridito, Sebastian Becker, Arnulf Jentzen

Publication date: 1 November 2023

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.13530

zbMATH Keywords

stochastic partial differential equationsZakai equationFeynman-Kac representationDoss-Sussmann transformationnonlinear filtering problems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems governed by partial differential equations (93C20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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