Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences
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Publication:5162017
DOI10.4208/cicp.OA-2018-0238zbMath1473.65012arXiv1805.11038OpenAlexW2995540388MaRDI QIDQ5162017
Peter Maksymovych, Feng Bao, Richard Archibald
Publication date: 1 November 2021
Published in: Communications in Computational Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.11038
Numerical optimization and variational techniques (65K10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (6)
A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ A Stochastic Gradient Descent Approach for Stochastic Optimal Control ⋮ Data informed solution estimation for forward-backward stochastic differential equations
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