Unbiased Estimation of the Solution to Zakai's Equation
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Publication:6334100
DOI10.1515/MCMA-2020-2061arXiv2002.01270MaRDI QIDQ6334100
Publication date: 4 February 2020
Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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