Geodesic
Numerical solutions for a class of SPDEs over bounded domains
Dan Crisan1 ; Jie Xiong2, 3
1 Department of Mathematics, Imperial College London, 180 Queen's Gate, London SW7 2BZ, UK
2 Department of Mathematics, University of Tennessee, Knoxville, TN 37996-1300, USA
3 Department of Mathematics, Hebei Normal University, Shijiazhuang 050016, PRC
ESAIM. Proceedings, Tome 19 (2007), pp. 121-125 Cet article a éte moissonné depuis la source EDP Sciences

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The optimal filter for a bounded signal with reflecting boundary is approximated by the (un-weighted) empirical measure of a finite interacting particle system. The main motivation of this un-weighted empirical measure representation is to overcome the slow convergence rate of the weighted one because of the exponential growth of the variance of individual weight of the particle. The finite system of SDEs with reflecting boundary is then solved numerically by Euler scheme.
DOI : 10.1051/proc:071916

Dan Crisan 1 ; Jie Xiong 2, 3

1 Department of Mathematics, Imperial College London, 180 Queen's Gate, London SW7 2BZ, UK
2 Department of Mathematics, University of Tennessee, Knoxville, TN 37996-1300, USA
3 Department of Mathematics, Hebei Normal University, Shijiazhuang 050016, PRC 
@article{EP_2007_19_a16,
     author = {Dan Crisan and Jie Xiong},
     title = {Numerical solutions for a class of {SPDEs} over bounded domains},
     journal = {ESAIM. Proceedings},
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     year = {2007},
     volume = {19},
     doi = {10.1051/proc:071916},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc:071916/}
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Dan Crisan; Jie Xiong. Numerical solutions for a class of SPDEs over bounded domains. ESAIM. Proceedings, Tome 19 (2007), pp. 121-125. doi: 10.1051/proc:071916

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