Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences (Q5162017): Difference between revisions

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scientific article; zbMATH DE number 7418377

Language	Label	Description	Also known as
English	Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences	scientific article; zbMATH DE number 7418377

Statements

scholarly article

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Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences (English)

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Richard Archibald

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Peter Maksymovych

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Communications in Computational Physics

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publication date

1 November 2021

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full work available at URL

https://arxiv.org/abs/1805.11038

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zbMATH Keywords

nonlinear filtering problem

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backward SDEs

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jump diffusion processes

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material sciences

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Particle Markov Chain Monte Carlo Methods

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ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS

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Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes

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Efficient particle filtering for stochastic Korteweg–de Vries equations

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A Hybrid Sparse-Grid Approach for Nonlinear Filtering Problems Based on Adaptive-Domain of the Zakai Equation Approximations

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NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS

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A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems

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Adaptive Meshfree Backward SDE Filter

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Backward stochastic differential equations and integral-partial differential equations

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OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES

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Resampling algorithms and architectures for distributed particle filters

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A survey of convergence results on particle filtering methods for practitioners

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Detecting disease outbreaks using a combined Bayesian network and particle filter approach

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A variable neighborhood search particle filter for bearings-only target tracking

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Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes

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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

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Discretization and Simulation of the Zakai Equation

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Error analysis for numerical formulation of particle filter

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Monte Carlo sampling methods using Markov chains and their applications

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Numerical methods for nonlinear stochastic differential equations with jumps

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An approximation for the Zakai equation

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Improved distributed particle filters for tracking in a wireless sensor network

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On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications

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Signal processing for molecular and cellular biological physics: an emerging field

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Tracking rapid intracellular movements: a Bayesian random set approach

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Improved particle filters for multi-target tracking

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The Monte Carlo Method

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Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance

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Adapted solution of a backward stochastic differential equation

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A two-sided stochastic integral and its calculus

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Filtering via Simulation: Auxiliary Particle Filters

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Numerical solution of stochastic differential equations with jumps in finance

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Nonlinear filtering of stochastic dynamical systems with Lévy noises

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A Bayesian Topological Framework for the Identification and Reconstruction of Subcellular Motion

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Conditional Markov Processes

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Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes

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Norm estimates for inverses of Vandermonde matrices

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Particle filtering with path sampling and an application to a bimodal ocean current model

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On the optimal filtering of diffusion processes

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Numerical Methods for SPDEs with Tempered Stable Processes

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Identifiers

zbMATH Open document ID

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10.4208/cicp.OA-2018-0238

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5162017

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