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)

Full work available at URL https://doi.org/10.1016/J.SPA.2025.104806

zbMATH Keywords

diffusion processesenlargement of filtrationguided processHamilton-Jacobi-Bellman equationMonte Carlo methodoptimal controlsmoothingstochastic differential equation

Mathematics Subject Classification ID

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

Cites work

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• Stochastic partial differential equations and filtering of diffusion processes
• Équations du filtrage non linéaire de la prédiction et du lissage

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