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