ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS

DOI10.1615/Int.J.UncertaintyQuantification.2019028300zbMath1498.82016OpenAlexW2921241202MaRDI QIDQ5052355

Hongmei Chi, Yanzhao Cao, Feng Bao

Publication date: 24 November 2022

Published in: International Journal for Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1615/int.j.uncertaintyquantification.2019028300

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Jump processes on general state spaces (60J76)

Related Items (4)

A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ Data informed solution estimation for forward-backward stochastic differential equations

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