A first order scheme for backward doubly stochastic differential equations
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backward doubly stochastic differential equationsfirst order schemeItō-Taylor expansionnonlinear filter
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)
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Cites work
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- A numerical scheme for backward doubly stochastic differential equations
- A numerical scheme for BSDEs
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- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- A two-sided stochastic integral and its calculus
- An approximation for the Zakai equation
- Approximate solvability of forward-backward stochastic differential equations
- Approximation of some stochastic differential equations by the splitting up method
- Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Convergence of a Branching Particle Method to the Solution of the Zakai Equation
- Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Error expansion for the discretization of backward stochastic differential equations
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- scientific article; zbMATH DE number 1069628 (Why is no real title available?)
- scientific article; zbMATH DE number 1066322 (Why is no real title available?)
- Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
- Numerical method for backward stochastic differential equations
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- On the optimal filtering of diffusion processes
- Runge-Kutta schemes for backward stochastic differential equations
- Second order discretization of backward SDEs and simulation with the cubature method
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Time-discretised Galerkin approximations of parabolic stochastic PDE's
- Tracking and data association
Cited in
(21)- A drift homotopy implicit particle filter method for nonlinear filtering problems
- Kernel learning backward SDE filter for data assimilation
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- An efficient numerical algorithm for solving data driven feedback control problems
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- Adaptive meshfree backward SDE filter
- A Stochastic Gradient Descent Approach for Stochastic Optimal Control
- Data informed solution estimation for forward-backward stochastic differential equations
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- L^2-regularity result for solutions of backward doubly stochastic differential equations
- Two-Step Scheme for Backward Stochastic Differential Equations
- Splitting scheme for backward doubly stochastic differential equations
- A stochastic maximum principle approach for reinforcement learning with parameterized environment
- A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
- A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
- An ensemble score filter for tracking high-dimensional nonlinear dynamical systems
- Convergence analysis of kernel learning FBSDE filter
- United filter for jointly estimating state and parameters of stochastic dynamical systems
- Ensemble score filter for data assimilation of two-phase flow models in porous media
- Multilevel Picard iterations for parabolic stochastic partial differential equations
- Assimilating partial observation to enhance feedback control of stochastic dynamical systems
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