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math.PR2022
Poisson Equations with locally-Lipschitz coefficients and Uniform in Time Averaging for Stochastic Differential Equations via Strong Exponential Stability
Dan Crisan, Paul Dobson, Ben Goddard +2
We study averaging for Stochastic Differential Equations (SDEs) and Poisson equations. We succeed in obtaining a uniform in time (UiT) averaging result, with a rate, for fully coup…
math.PR2022
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
The filtering equations govern the evolution of the conditional distribution of a signal process given partial, and possibly noisy, observations arriving sequentially in time. Thei…