Numerical solutions for a class of SPDEs over bounded domains

Numerical solutions for a class of SPDEs over bounded domains
复制标题

有界域上一类 SPDE 的数值解

DOI：
--
复制
发表时间：
2007
期刊：
影响因子：
--
通讯作者：
J. Xiong
J. Xiong
中科院分区：
--
文献类型：
--
作者：
D. Crisan;J. Xiong

文献摘要

被引文献

相似文献

对于具有反射边界的有界信号，用有限相互作用粒子系统的（未加权的）经验测度近似求得最优滤波器。这种不加权的经验测度表示的主要动机是克服加权的收敛速度慢，因为粒子的单个权重的方差呈指数增长。然后用欧拉格式对具有反射边界的有限系统进行数值求解。
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.