Numerical methods and stochastics / T.J. Lyons, T.S. Salisbury, editors.

Format:

Book

Conference/Event

Contributor:

Lyons, T. J. (Terry J.), 1953-

Salisbury, Thomas S. (Thomas Stephenson), 1957-

Conference Name:

Workshop on Numerical Methods and Stochastics (1999 : Fields Institute for Research in Mathematical Sciences)

Series:

Fields Institute communications ; v. 34.

Fields Institute communications, 1069-5265 ; 34

Language:

English

Subjects (All):

Numerical analysis--Congresses.

Numerical analysis.

Stochastic analysis--Congresses.

Stochastic analysis.

Genre:

Conference papers and proceedings.

Physical Description:

v, 121 pages : illustrations ; 27 cm.

Place of Publication:

Providence, R.I. : American Mathematical Society, [2002]

Contents:

Numerical Methods for Solving the Stochastic Filtering Problem / Dan Crisan 1

Optimal Filtering on Discrete Sets / D. Crisan, T. Lyons 21

The Monte-Carlo Method for Filtering with Discrete-Time Observations: Central Limit Theorems / Pierre Del Moral, Jean Jacod 29

Approximations of Markovian Non Linear Partial Differential Equations by Particle Systems / A. Guionnet 55

Non Markovian Limit Diffusions and Spin Glasses / A. Guionnet 65

Towards Pathwise Stochastic Fast Dynamo in Magneto-Hydrodynamics / Subhendu B. Hazra, Frederi G. Viens 75

System Control and Rough Paths / T. J. Lyons 91

Embedding and the Convergence of the Binomial and Trinomial Tree Schemes / John B. Walsh, Owen D. Walsh 101.

Notes:

"This volume contains the proceedings of the Workshop on Numerical Methods and Stochastics, held at the Fields Institute for Research in Mathematical Sciences, April 20-23, 1999"--Pref.

Includes bibliographical references.

ISBN:

0821819941

OCLC:

50280025