Numerical Solutions for a Class of SPDEs with Application to Filtering

@inproceedings{Kurtz2001NumericalSF,
  title={Numerical Solutions for a Class of SPDEs with Application to Filtering},
  author={Thomas G. Kurtz and Jie Xiong},
  year={2001}
}
A simulation scheme for a class of nonlinear stochastic partial differential equations is proposed and error bounds for the scheme are derived. The scheme is based on the fact that the solutions of the SPDEs can be represented by the weighted empirical measure of an infinite system of interacting particles. There are two sources of error in the scheme, one due to finite sampling of the infinite collection of particles and the other due to the Euler scheme used in the simulation of the… 

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