A First Order Scheme for Backward Doubly Stochastic Differential Equations

DOI10.1137/14095546XzbMath1343.60096OpenAlexW2343354150MaRDI QIDQ5741185

A. J. Meir, Yanzhao Cao, Feng Bao, Weidong Zhao

Publication date: 22 July 2016

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14095546x

zbMATH Keywords

backward doubly stochastic differential equationsnonlinear filterfirst order schemeItō-Taylor expansion

Mathematics Subject Classification ID

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)

Related Items (11)

A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Kernel learning backward SDE filter for data assimilation ⋮ Splitting scheme for backward doubly stochastic differential equations ⋮ A stochastic maximum principle approach for reinforcement learning with parameterized environment ⋮ Adaptive Meshfree Backward SDE Filter ⋮ A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ L2-regularity result for solutions of backward doubly stochastic differential equations ⋮ A Stochastic Gradient Descent Approach for Stochastic Optimal Control ⋮ Data informed solution estimation for forward-backward stochastic differential equations

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