Dan Crisan

activity

20142021

most citedA Probabilistic approach to classical solutions of the master equation for large population equilibria

73 citations · 101 across the 6 of their papers we have counts for

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Showing 2014 · math.PRShow all

3 papers · 2 filters

math.PR2014★ 73 cited

A Probabilistic approach to classical solutions of the master equation for large population equilibria

Jean-François Chassagneux, Dan Crisan, François Delarue

We analyze a class of nonlinear partial differential equations (PDEs) defined on $R^{d} \times P_{2} (R^{d}),$ where $P_{2} (R^{d})$ is the Wasse…

math.PR2014

A second order time discretization of the solution of the non-linear filtering problem

Dan Crisan, Salvador Ortiz-Latorre

The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the ob…

math.PR2014

The filtering equations revisited

Thomas Cass, Martin Clark, Dan Crisan

The problem of nonlinear filtering has engendered a surprising number of mathematical techniques for its treatment. A notable example is the change-of--probability-measure method o…