Backward Nonlinear Smoothing Diffusions

DOI10.1137/S0040585X97T99037XzbMath1470.60220arXiv1910.14511OpenAlexW3159580798MaRDI QIDQ5005710

Pierre Del Moral, C. Palmier, Adrian N. Bishop, Brian D. O. Anderson

Publication date: 10 August 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.14511

zbMATH Keywords

diffusion equationsKalman-Bucy filterstochastic semigroupsnonlinear filtering and smoothingRauch-Tung-Striebel smootherbackward stochastic integrationbackward Itô-Ventzell formulaparticle filtering and smoothingtime-reversed stochastic differential equationsZakai and Kushner-Stratonovich equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (1)

Coupled quantum harmonic oscillators and Feynman-Kac path integrals for linear diffusive particles

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