Adaptive Meshfree Backward SDE Filter

DOI10.1137/16M1100277zbMath1386.93285OpenAlexW2768729488MaRDI QIDQ4595780

Feng Bao, Vasileios Maroulas

Publication date: 6 December 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1100277

zbMATH Keywords

Markov chain Monte Carlononlinear filtering problemsforward backward stochastic differential equationsadaptive meshfree approximation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

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A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model ⋮ Kernel learning backward SDE filter for data assimilation ⋮ Splitting scheme for backward doubly stochastic differential equations ⋮ A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise ⋮ Uncertainty modelling and computational aspects of data association ⋮ A Stochastic Gradient Descent Approach for Stochastic Optimal Control ⋮ Data informed solution estimation for forward-backward stochastic differential equations

Uses Software

• Matlab

Cites Work

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