Data informed solution estimation for forward-backward stochastic differential equations

DOI10.1142/S0219530520400102zbMath1475.60100OpenAlexW3082055279WikidataQ115245533 ScholiaQ115245533MaRDI QIDQ4995043

Feng Bao, Yanzhao Cao, Jiong-min Yong

Publication date: 23 June 2021

Published in: Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219530520400102

zbMATH Keywords

nonlinear filteringdata assimilationSDEFBSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (2)

A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters ⋮ Numerical methods for backward stochastic differential equations: a survey

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