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

DOI10.4310/CMS.2020.v18.n3.a3zbMath1458.60067arXiv1509.06352OpenAlexW3038506845MaRDI QIDQ2658914

Xiaoying Han, Feng Bao, Yanzhao Cao

Publication date: 25 March 2021

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.06352

zbMATH Keywords

Feynman-Kac formulaItô's formulaoptimal filtering problemadjoint stochastic processesforward backward doubly stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Kernel learning backward SDE filter for data assimilation ⋮ Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Splitting scheme for backward doubly stochastic differential equations ⋮ Adaptive Meshfree Backward SDE Filter ⋮ A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters ⋮ Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ Data informed solution estimation for forward-backward stochastic differential equations