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...

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Bibliographic Details
Main Authors: Beck, Christian, Becker, Sebastian, Cheridito, Patrick, Jentzen, Arnulf, Neufeld, Ariel
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2024
Subjects:
Mathematical Sciences
Zakai equation
Nonlinear filtering problems
Online Access:https://hdl.handle.net/10356/174134
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Institution: Nanyang Technological University
Language: English

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https://hdl.handle.net/10356/174134

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