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SPD

Seminar

Particle approximations for strong solutions of linear SPDEs with multiplicative noise

Crisan, D (Imperial College)
Monday 28 June 2010, 11:30-12:20

Seminar Room 1, Newton Institute

Abstract

Two classes of particle approximation for strong solutions of linear SPDEs with multiplicative noise are presented. The first is a Monte-Carlo type method and the second is based on the recent Kusuoka-Lyons-Victoir approach to approximate solution of SDEs. The work is motivated by and applied to nonlinear filtering.

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