Particle approximations for a class of stochastic partial differential equations

DOI10.1007/s00245-006-0872-3zbMath1116.60028OpenAlexW2036234630MaRDI QIDQ861499

N. E. Zubov

Publication date: 29 January 2007

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-006-0872-3

zbMATH Keywords

stochastic partial differential equationsnonlinear filteringparticle approximations

Mathematics Subject Classification ID

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

Related Items

PARTICLE FILTERS IN A MULTISCALE ENVIRONMENT: WITH APPLICATION TO THE LORENZ-96 ATMOSPHERIC MODEL ⋮ Euler time discretization of backward doubly SDEs and application to semilinear SPDEs ⋮ A branching particle system approximation for nonlinear stochastic filtering ⋮ Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises ⋮ Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model ⋮ The numerical approximation of stochastic partial differential equations ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ How to Avoid the Curse of Dimensionality: Scalability of Particle Filters with and without Importance Weights ⋮ Solving parabolic stochastic partial differential equations via averaging over characteristics ⋮ On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players ⋮ A simulation approach to optimal stopping under partial information