An efficient Monte Carlo scheme for Zakai equations

• المؤلفون الرئيسيون: Beck, Christian, Becker, Sebastian, Cheridito, Patrick, Jentzen, Arnulf, Neufeld, Ariel
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2024
• الموضوعات: Mathematical Sciences; Zakai equation; Nonlinear filtering problems
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/174134
• المؤسسة: Nanyang Technological University

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...