Particle approximations for strong solutions of linear SPDEs with multiplicative noise
Seminar Room 1, Newton Institute
AbstractTwo 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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