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Explicit Strong Solutions of SPDE’s with Applications to Non-Linear Filtering

✍ Scribed by F. E. Benth; Th. Deck; J. Potthoff; G. VÅge


Book ID
110230690
Publisher
Springer Netherlands
Year
1998
Tongue
English
Weight
280 KB
Volume
51
Category
Article
ISSN
0167-8019

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Application of the linear filtering algo
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We extend the linear filtering method of Monte Carlo simulation, introduced in a previous paper, to two models where the quadratic approximation to the action does not hold. The first model considered is the quantum anharmonic oscillator with the double well potential V=(x 2 -x~)2on a time lattice o