A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
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Publication:5159762
DOI10.4208/cicp.OA-2017-0084zbMath1488.65008OpenAlexW2912809652WikidataQ115211299 ScholiaQ115211299MaRDI QIDQ5159762
Yanzhao Cao, Feng Bao, Weidong Zhao
Publication date: 28 October 2021
Published in: Communications in Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/cicp.oa-2017-0084
backward doubly stochastic differential equationfirst-order algorithmnonlinear filtering problemsquasi Monte Carlo sequence
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Kernel learning backward SDE filter for data assimilation ⋮ Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises ⋮ 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 ⋮ A Stochastic Gradient Descent Approach for Stochastic Optimal Control ⋮ Data informed solution estimation for forward-backward stochastic differential equations
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