Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equations

Abstract

This paper is concerned with numerical approximations for a class of nonlinear stochastic partial differential equations : Zakai equation of nonlinear filtering problem and McKean-Vlasov type equations. The approximation scheme is based on the representation of the solutions as weighted conditional distributions. We first accurately analyse the error caused… (More)

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