Monte-Carlo methods and stochastic processes: from linear to non-linear
โ Scribed by Gobet, Emmanuel
- Publisher
- Chapman & Hall/CRC
- Year
- 2016
- Tongue
- English
- Category
- Library
No coin nor oath required. For personal study only.
โฆ Subjects
Monte Carlo method.
๐ SIMILAR VOLUMES
This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their conn
A non-linear and/or non-normal filter is proposed in this paper. Generating random draws of the state vector directly from the filtering density, the filtering estimate is obtained, which gives us a recursive algorithm. There, we do not evaluate any integration included in the density-based filterin
<p><span>This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations.</span></p><p><span>The emphasis lies on second-order stochastic parabolic