An efficient Monte Carlo scheme for Zakai equations

• 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

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...