A backward doubly stochastic differential equation approach for nonlinear filtering problems
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Publication:5159762
backward doubly stochastic differential equationfirst-order algorithmnonlinear filtering problemsquasi Monte Carlo sequence
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Filtering in stochastic control theory (93E11)
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- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 5919879 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
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Cited in
(16)- A drift homotopy implicit particle filter method for nonlinear filtering problems
- Kernel learning backward SDE filter for data assimilation
- An efficient numerical algorithm for solving data driven feedback control problems
- Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes
- Forward and backward filtering based on backward stochastic differential equations
- Monte Carlo methods for backward equations in nonlinear filtering
- Adaptive meshfree backward SDE filter
- A Stochastic Gradient Descent Approach for Stochastic Optimal Control
- Data informed solution estimation for forward-backward stochastic differential equations
- Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
- Solving approximately an optimal nonlinear filtering problem for stochastic differential systems by statistical modeling
- An energy-based deep splitting method for the nonlinear filtering problem
- Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
- A splitting method for nonlinear filtering problems with diffusive and point process observations
- Convergence analysis of kernel learning FBSDE filter
- Splitting-up method for Zakai equation with -stable Lévy noise: convergence analysis and applications to nonlinear filtering problems
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