Volume 19, 2007Conference Oxford sur les méthodes de Monte Carlo séquentielles
|Page(s)||121 - 125|
|Published online||30 October 2007|
Numerical solutions for a class of SPDEs over bounded domains
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
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.
Mathematics Subject Classification: 60H15 / 60K35 / 35R60 / 93E11
Key words: Stochastic partial differential equation / particle system approximation / diffusion with reflecting boundary / Kushner-FKK equation / nonlinear filtering
© EDP Sciences, ESAIM, 2007
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