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Numerical Methods and Stochastics
About this Title
T. J. Lyons, University of Oxford, Oxford, UK and T. S. Salisbury, York University, Toronto, ON, Canada, Editors
Publication: Fields Institute Communications
Publication Year:
2002; Volume 34
ISBNs: 978-0-8218-1994-4 (print); 978-1-4704-3068-9 (online)
DOI: https://doi.org/10.1090/fic/034
MathSciNet review: MR1944740
MSC: Primary 60-06
ReadershipTable of Contents
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Front/Back Matter
Chapters
- Dan Crisan – Numerical methods for solving the stochastic filtering problem
- D. Crisan and T. Lyons – Optimal filtering on discrete sets
- Pierre Del Moral and Jean Jacod – The Monte-Carlo method for filtering with discrete-time observations: Central limit theorems
- A. Guionnet – Approximations of Markovian non linear partial differential equations by particle systems
- A. Guionnet – Non-Markovian limit diffusions and spin glasses
- Subhendu Hazra and Frederi Viens – Towards pathwise stochastic fast dynamo in magneto-hydrodynamics
- T. Lyons – System control and rough paths
- John Walsh and Owen Walsh – Embedding and the convergence of the binomial and trinomial tree schemes