MULTI-INDEX SEQUENTIAL MONTE CARLO METHODS FOR PARTIALLY OBSERVED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

DOI10.1615/INT.J.UNCERTAINTYQUANTIFICATION.2020033219zbMath1498.65019arXiv1805.00415OpenAlexW3097787433WikidataQ115235023 ScholiaQ115235023MaRDI QIDQ5052436

Ajay Jasra, Yaxian Xu, Kody J. H. Law

Publication date: 24 November 2022

Published in: International Journal for Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.00415

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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