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On accelerated numerical schemes for nonlinear filtering.

Gyongy, I (Edinburgh)
Monday 14 June 2010, 14:00-14:50

Seminar Room 1, Newton Institute


Some numerical schemes, in particular, finite difference approximations are considered to calculate nonlinear filters for partially observed diffusion processes. Theorems on Richardson's acceleration of the convergence of numerical schemes are presented. The talk is based on joint result with Nicolai Krylov.


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