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On accelerated numerical schemes for nonlinear filtering.

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If you have a question about this talk, please contact Mustapha Amrani.

Stochastic Partial Differential Equations (SPDEs)

Some numerical schemes, in particular, finite difference approximations are considered to calculate nonlinear filters for partially observed diffusion processes. Theorems on Richardson’s acceleration of the convergence of numerical schemes are presented. The talk is based on joint result with Nicolai Krylov.

This talk is part of the Isaac Newton Institute Seminar Series series.

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