Guided smoothing and control for diffusion processes

DOI10.1016/J.SPA.2025.104806MaRDI QIDQ6887548zbMATH OpenFDO

Authors Oskar Eklund, Annika Lang, Moritz Schauer

Publication date 9 December 2025

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

smoothingstochastic differential equationenlargement of filtrationHamilton-Jacobi-Bellman equationMonte Carlo methodoptimal controldiffusion processesguided process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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