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abstract:
In the last decade, a new class of numerical methods for approximating weak solutions of SDEs have been introduced by Kusuoka, Lyons, Ninomiya and Victoir. These methods are based on the work of Kusuoka and Stroock who established refined gradient upper bounds for the associated semigroup using Malliavin Calculus techniques. In this talk, I will present an application of these methods to the numerical solution of the Zakai equation and its application to stochastic filtering. The talk is based on joint work with S. Ghazali. |
