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Numerical Solutions for a Class of SPDEs with Application to Filtering
4 references·0 citing·11 second hop
Numerical Solutions for a Class of SPDEs with Application to Filtering (2001)Numerical Solutions for a Class of SPDEs …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic Analysis (1997)Stochastic AnalysisTime-discretization of the zakai equation for diffusion processes observed in correlated noise (1991)Time-discretization of the za…Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Probability Methods for Appro…Stochastic partial differential equations and filtering of diffusion processes (1980)Discretization and Simulation of the Zakai Equation (2006)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Stein’s method on Wiener chaos (2008)Scheduling network of queues : heavy traffic analysis of multistation network with controllable inputs (1989)Dynamic routing in open queueing networks: Brownian models, cut constraints and resource pooling (1993)On an Investment-Consumption Model with Transaction Costs (1996)
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1997Stochastic Analysis1,035 cited
  • 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations343 cited
  • 1991Time-discretization of the zakai equation for diffusion processes observed in correlated noise58 cited

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