A first order semi-discrete algorithm for backward doubly stochastic differential equations

DOI10.3934/dcdsb.2015.20.1297zbMath1382.60091OpenAlexW2527295977MaRDI QIDQ256815

Weidong Zhao, Feng Bao, Yanzhao Cao

Publication date: 10 March 2016

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2015.20.1297

zbMATH Keywords

conditional expectationZakai equationbackward SDEsSPDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Adaptive Meshfree Backward SDE Filter ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ A Stochastic Gradient Descent Approach for Stochastic Optimal Control ⋮ Data informed solution estimation for forward-backward stochastic differential equations

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