An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
DOI10.1007/s40072-022-00260-yzbMath1504.65004arXiv2201.03283OpenAlexW4221139972WikidataQ114219503 ScholiaQ114219503MaRDI QIDQ2093308
Salvador Ortiz-Latorre, Alexander Lobbe, Dan Crisan
Publication date: 7 November 2022
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.03283
Artificial neural networks and deep learning (68T07) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Fundamentals of stochastic filtering
- On some filtering problems arising in mathematical finance
- On the splitting-up method and stochastic partial differential equations
- Inferring solutions of differential equations using noisy multi-fidelity data
- DGM: a deep learning algorithm for solving partial differential equations
- Neural networks-based backward scheme for fully nonlinear PDEs
- Solving the Kolmogorov PDE by means of deep learning
- Extensions of the deep Galerkin method
- Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
- Linear and non-linear filtering in mathematical finance: a review
- Deep Splitting Method for Parabolic PDEs
- Deep backward schemes for high-dimensional nonlinear PDEs
- Solving high-dimensional partial differential equations using deep learning
- Learning representations by back-propagating errors
- Advanced Lectures on Machine Learning
- An Accelerated Splitting-up Method for Parabolic Equations
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
This page was built for publication: An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations