2 papers
math.NA2026
Tensor train methods for high-dimensional nonlinear filtering problems with correlated noise
Yuhua Meng, Stephen S. -T. Yau, Zhiwen Zhang
Nonlinear filtering with correlated noise leads to a Duncan-Mortensen-Zakai (DMZ) equation in the form of a stochastic partial differential equation (SPDE). Unlike the independent…
math.NA2025
Regularity estimate and sparse approximation of pathwise robust Duncan-Mortensen-Zakai equation
Yuhua Meng, Zhongjian Wang, Stephen S. T. Yau +1
In this paper, we establish an \textit{a priori} estimate for arbitrary-order derivatives of the solution to the pathwise robust Duncan-Mortensen-Zakai (DMZ) equation within the fr…