Numerical solution for a class of SPDEs over bounded domains

DOI10.1080/17442508.2013.819510zbMath1329.60209OpenAlexW2105972127MaRDI QIDQ2875277

Jie Xiong, Dan Crisan

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.819510

zbMATH Keywords

stochastic partial differential equationsnonlinear filteringdiffusionsinteracting particle systemsreflecting boundaryKushner-FKK equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

A branching particle system approximation for a class of FBSDEs

Cites Work

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