Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
From MaRDI portal
Publication:5162017
DOI10.4208/CICP.OA-2018-0238zbMATH Open1473.65012arXiv1805.11038OpenAlexW2995540388MaRDI QIDQ5162017FDOQ5162017
Peter Maksymovych, Feng Bao, Richard Archibald
Publication date: 1 November 2021
Published in: Communications in Computational Physics (Search for Journal in Brave)
Abstract: The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations are expressed in terms of conditional law of a partially observed Markov diffusion process. It then follows that the adjoint time-inverse forward backward doubly stochastic differential equations governs the evolution of the unnormalized filtering density in the optimal filtering problem.
Full work available at URL: https://arxiv.org/abs/1805.11038
Recommendations
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- Nonlinear filtering for jump-diffusions
- scientific article; zbMATH DE number 1971697
- Robustness and convergence of approximations to nonlinear filters for jump-diffusions
- Monte Carlo methods for backward equations in nonlinear filtering
Numerical optimization and variational techniques (65K10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Numerical Methods for SPDEs with Tempered Stable Processes
- Title not available (Why is that?)
- Filtering via Simulation: Auxiliary Particle Filters
- Particle Markov Chain Monte Carlo Methods
- Monte Carlo sampling methods using Markov chains and their applications
- A two-sided stochastic integral and its calculus
- Error analysis for numerical formulation of particle filter
- Title not available (Why is that?)
- A survey of convergence results on particle filtering methods for practitioners
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- Discretization and Simulation of the Zakai Equation
- On the optimal filtering of diffusion processes
- The Monte Carlo Method
- Adapted solution of a backward stochastic differential equation
- An approximation for the Zakai equation
- Backward stochastic differential equations and integral-partial differential equations
- Numerical solution of stochastic differential equations with jumps in finance
- Numerical methods for nonlinear stochastic differential equations with jumps
- Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes
- Conditional Markov Processes
- Detecting disease outbreaks using a combined Bayesian network and particle filter approach
- A Bayesian Topological Framework for the Identification and Reconstruction of Subcellular Motion
- On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
- Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes
- A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
- A variable neighborhood search particle filter for bearings-only target tracking
- Nonlinear filtering of stochastic dynamical systems with Lévy noises
- Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
- Title not available (Why is that?)
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Particle filtering with path sampling and an application to a bimodal ocean current model
- Improved particle filters for multi-target tracking
- Title not available (Why is that?)
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Tracking rapid intracellular movements: a Bayesian random set approach
- Norm estimates for inverses of Vandermonde matrices
- Resampling algorithms and architectures for distributed particle filters
- Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
- Adaptive Meshfree Backward SDE Filter
- Improved distributed particle filters for tracking in a wireless sensor network
- Nonlinear filtering of Itô-Lévy stochastic differential equations with continuous observations
- A Hybrid Sparse-Grid Approach for Nonlinear Filtering Problems Based on Adaptive-Domain of the Zakai Equation Approximations
- ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS
- Signal processing for molecular and cellular biological physics: an emerging field
- Efficient particle filtering for stochastic Korteweg–de Vries equations
Cited In (9)
- A score-based filter for nonlinear data assimilation
- Data informed solution estimation for forward-backward stochastic differential equations
- A drift homotopy implicit particle filter method for nonlinear filtering problems
- An efficient numerical algorithm for solving data driven feedback control problems
- A Stochastic Gradient Descent Approach for Stochastic Optimal Control
- An ensemble score filter for tracking high-dimensional nonlinear dynamical systems
- A splitting method for nonlinear filtering problems with diffusive and point process observations
- Numerical methods for backward stochastic differential equations: a survey
- Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
Uses Software
This page was built for publication: Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5162017)
