Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences
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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
Numerical optimization and variational techniques (65K10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (9)
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- Data informed solution estimation for forward-backward stochastic differential equations
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