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Particle approximations for strong solutions of linear SPDEs with multiplicative noise

Date: 
Monday 28th June 2010 - 11:30 to 12:20
Venue: 
INI Seminar Room 1
Abstract: 
Two classes of particle approximation for strong solutions of linear SPDEs with multiplicative noise are presented. The first is a Monte-Carlo type method and the second is based on the recent Kusuoka-Lyons-Victoir approach to approximate solution of SDEs. The work is motivated by and applied to nonlinear filtering.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons