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- W2049825215 abstract "It is well known that the Kolmogorov equation plays an important role in applied science. For example, the nonlinear filtering problem, which plays a key role in modern technologies, was solved by Yau and Yau [1] by reducing it to the off-line computation of the Kolmogorov equation. In this paper, we develop a theorical foundation of using the wavelet-Galerkin method to solve linear parabolic P.D.E. We apply our theory to the Kolmogorov equation. We give a rigorous proof that the solution of the Kolmogorov equation can be approximated very well in any finite domain by our wavelet-Galerkin method. An example is provided by using Daubechies D 4 scaling functions." @default.
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- W2049825215 date "2004-11-01" @default.
- W2049825215 modified "2023-09-28" @default.
- W2049825215 title "Wavelet-Galerkin method for the Kolmogorov equation" @default.
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- W2049825215 doi "https://doi.org/10.1016/j.mcm.2003.07.016" @default.
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