Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
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Publication:681989
DOI10.1016/j.spa.2017.05.009zbMath1390.60152arXiv1510.01048OpenAlexW2191880838MaRDI QIDQ681989
Publication date: 13 February 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.01048
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (13)
Numerical approximation of singular forward-backward SDEs ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Quantization and martingale couplings ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Cubature method to solve BSDEs: Error expansion and complexity control ⋮ Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function ⋮ New weak error bounds and expansions for optimal quantization ⋮ Pointwise Convergence of the Lloyd I Algorithm in Higher Dimension ⋮ A fully quantization-based scheme for FBSDEs ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
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