An efficient Monte Carlo scheme for Zakai equations

10/24/2022

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by   Christian Beck, et al.

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In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE into a PDE with random coefficients. We show that under suitable regularity assumptions on the coefficients of the Zakai equation the corresponding random PDE admits a solution random field which, conditionally on the random coefficients, can be written as a classical solution of a second order linear parabolic PDE. This makes it possible to apply the Feynman–Kac formula to obtain an efficient Monte Carlo scheme for computing approximate solutions of Zakai equations. The approach achieves good results in up to 100 dimensions with fast run times.