Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections
Author:
Affiliation:
1. Department of MathematicsKing's College LondonWC2R 2LS London United Kingdom
2. Department of MathematicsImperial College LondonSW7 2AZ London United Kingdom
Funder
Centre for Doctoral Training in Financial Computing & Analytics
Publisher
Wiley
Subject
General Mathematics
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1112/plms.12226
Reference30 articles.
1. Linear and Nonlinear Filtering for Scientists and Engineers
2. J.ArmstrongandD.Brigo ‘Stochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples’ Preprint 2013 arXiv:1303.6236.
3. J.ArmstrongandD.Brigo ‘Optimal approximation of SDEs on submanifolds: the Ito vector and Ito jet projections’ Preprint 2016 arXiv.org/abs/1610.03887.
4. Nonlinear filtering via stochastic PDE projection on mixture manifolds in $$L^2$$ L 2 direct metric
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