scientific article; zbMATH DE number 5919879

MaRDI QIDQ3015767zbMATH OpenFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 13 July 2011

zbMATH Keywords

backward stochastic partial differential equations (SPDEs)Kallianpur-Striebel formulaMonte Carlo algorithmsvariance reduction method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11)

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Cited in

(3)

• Monte Carlo methods for backward equations in nonlinear filtering
• Adaptive meshfree backward SDE filter
• A backward doubly stochastic differential equation approach for nonlinear filtering problems

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