An efficient Monte Carlo scheme for Zakai equations

An efficient Monte Carlo scheme for Zakai equations

In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE into a PDE with random coefficients. We show that under suitable regularity assumptions on the coefficients of the Zakai...

Saved in:

書目詳細資料
Main Authors:	Beck, Christian, Becker, Sebastian, Cheridito, Patrick, Jentzen, Arnulf, Neufeld, Ariel
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2024
主題:	Mathematical Sciences Zakai equation Nonlinear filtering problems
在線閱讀:	https://hdl.handle.net/10356/174134
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

相似書籍

Deep splitting method for parabolic PDEs
由: Beck, Christian, et al.
出版: (2022)

A cluster identification framework illustrated by a filtering model for earthquake occurrences
由: Wu, Z.
出版: (2014)

A cluster identification framework illustrated by a filtering model for earthquake occurrences
由: WU, Zhengxiao
出版: (2009)

Combination of multigrid with constraint data for inverse problem of nonlinear diffusion equation
由: Liu, Tao, et al.
出版: (2023)

A novel method for establishing solutions to non-linear ordinary differential equations
由: Horak, Vladimir, et al.
出版: (2018)

Nonlinear Dirac equations
由: Ng, W.K., et al.
出版: (2014)

Order of convergence of splitting schemes for both deterministic and stochastic nonlinear Schrödinger equations
由: Liu, J.
出版: (2014)

A physical axiomatic approach to schrodinger's equation
由: Parwani, R.R.
出版: (2014)

Positive solutions of higher-order nonlinear delay difference equations
由: Li, W.-T., et al.
出版: (2014)

MULTILEVEL MONTE CARLO METHODS IN FINANCE.
由: GREGORY ANG TAI XIANG
出版: (2018)

Nonlinear dirac equations with applications to neutrino oscillations
由: Ng, W.K.
出版: (2014)

Nonlinear Schrödinger-Pauli equations
由: Ng, W.K., et al.
出版: (2014)

The oscillation of perturbed functional differential equations
由: Agarwal, R.P., et al.
出版: (2014)

Cauchy's functional equation in a restricted domain
由: Watcharapon Pimsert
出版: (2008)

Cauchy s functional equation in a restricted domain
由: Watcharapon Pimsert
出版: (2003)

Blow-up solutions of inhomogeneous nonlinear Schrödinger equations
由: Pang, P.Y.H., et al.
出版: (2014)

Blow-up solutions of inhomogeneous nonlinear Schrödinger equations on torus
由: Pang, P.Y.H., et al.
出版: (2014)

Introduction to Nonlinear Dispersive Equations
出版: (2017)

Some thoughts on a nonlinear Schrödinger equation motivated by information theory
由: Parwani, R.R.
出版: (2014)

A note on a singular integral equation arising in a problem in communications
由: Agarwal, R.P., et al.
出版: (2014)

A class of ergodic solutions of nonlinear differential equations and numerical treatment
由: Agarwal, R.P., et al.
出版: (2014)

Pseudorecurrence and chaos of cubic-quintic nonlinear Schrödinger equation
由: Zhou, C., et al.
出版: (2014)

Asymptotic behavior of a class of nonlinear delay difference equations
由: Agarwal, R.P., et al.
出版: (2014)

Symplectic methods for the nonlinear Schrödinger equation
由: Tang, Y.-F., et al.
出版: (2014)

Nonlinear dirac equations
由: NG WEI KHIM
出版: (2010)

Some methods of solving cubic equations
由: Cornejo, Ma. Eliza, et al.
出版: (1995)

Inverse problem for the nonlinear convection–diffusion equation by using the multigrid method and constraint data
由: Wang, Shuai, et al.
出版: (2024)

Oscillation theorems of second-order nonlinear neutral delay differential equations under impulsive perturbations
由: Peng, M.-S., et al.
出版: (2014)

Numerical solution of nonlinear diff. equations for heat transfer in micropolar fluids over a stretching domain
由: Farooq Ahmad, et al.
出版: (2020)

Computational modeling of nonlinear reaction-diffusion Fisher–KPP equation with mixed modal discontinuous Galerkin scheme
由: Singh, Satyvir
出版: (2022)

Singular differential equations with (n,p) boundary conditions
由: Wong, P.J.Y., et al.
出版: (2014)

Free-boundary problem for a singular diffusion equation
由: Pang, P.Y.H., et al.
出版: (2014)

SEQUENTIAL MONTE CARLO FOR BAYESIAN INFERENCE AND DATA ASSIMILATION
由: DEBORSHEE SEN
出版: (2018)

Solutions of n-point boundary value problems associated with nonlinear summary difference equations
由: Sheng, Q., et al.
出版: (2014)

Existence of solutions for singular boundary problems for higher order differential equations
由: Agarwal, R.P., et al.
出版: (2014)

Uniqueness and a priori estimates for some nonlinear elliptic Neumann equations in ℝ3
由: Wei, J., et al.
出版: (2014)

On the existence of solutions of singular boundary value problems for higher order difference equations
由: Wong, P.J.Y., et al.
出版: (2014)

Bayesian inversion of log-normal eikonal equations
由: Yeo, Zhan Fei, et al.
出版: (2023)

Piecewise continuous almost periodic solutions for nonlinear impulsive differential equations
由: Wichai Witthayakiattilerd
出版: (2006)

Critical exponents for nonlinear diffusion equations with nonlinear boundary sources
由: Pang, P.Y.H., et al.
出版: (2014)