DH 3rd floor SR

In this talk, we consider a class of non-linear stochastic partial

differential equations. We represent its solutions as the weighted

empirical measures of interacting particle systems. As a consequence,

a simulation scheme for this class of SPDEs is proposed. There are two

sources of error in the scheme, one due to finite sampling of the

infinite collection of particles and the other due to the Euler scheme

used in the simulation of the individual particle motions. The error

bound, taking into account both sources of error, is derived. A

functional limit theorem is also derived. The results are applied to

nonlinear filtering problems.

This talk is based on joint research with Kurtz.

We construct and study different surface measures on the space of

paths in a compact Riemannian manifold embedded into the Euclidean

space. The idea of the constructions is to force a Brownian particle

in the ambient space to stay in a small neighbourhood of the manifold

and then to pass to the limit. Finally, we compare these surface

measures with the Wiener measure on the space of paths in the

manifold.