Wiener Chaos and Nonlinear Filtering

Journal Article · Wed Nov 15 04:00:00 EST 2006 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-006-0873-2· OSTI ID:21064201

Gyongy, Istvan; Shmatkov, Anton ^[1]

---

1. School of Mathematics, University of Edinburgh, King's Buildings (United Kingdom)

We investigate the rate of convergence of the Wong-Zakai approximations for second-order stochastic PDEs of parabolic type driven by a multi-dimensional Wiener process W.

• OSTI ID: 21064201
• Journal Information: Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 54; ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
APPROXIMATIONS
CHAOS THEORY
CONVERGENCE
MANY-DIMENSIONAL CALCULATIONS
NONLINEAR PROBLEMS
PARTIAL DIFFERENTIAL EQUATIONS
STOCHASTIC PROCESSES