Convergence analysis of kernel learning FBSDE filter

DOI10.4208/cmr.2024-0017MaRDI QIDQ6661210

Yunzheng Lyu, Feng Bao

Publication date: 13 January 2025

Published in: Communications in Mathematical Research (Search for Journal in Brave)

zbMATH Keywords

convergence analysiskernel density estimationnonlinear filtering problemsforward backward stochastic differential equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Acceleration of convergence in numerical analysis (65B99)

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