Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering

DOI10.1016/j.spa.2017.05.009zbMath1390.60152arXiv1510.01048OpenAlexW2191880838MaRDI QIDQ681989

Abass Sagna, Gilles Pagès

Publication date: 13 February 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.01048

zbMATH Keywords

\(L^r\)-optimal quantizersnonlinear filtering problemsoptimal quantization theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (13)

Numerical approximation of singular forward-backward SDEs ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Quantization and martingale couplings ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Cubature method to solve BSDEs: Error expansion and complexity control ⋮ Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function ⋮ New weak error bounds and expansions for optimal quantization ⋮ Pointwise Convergence of the Lloyd I Algorithm in Higher Dimension ⋮ A fully quantization-based scheme for FBSDEs ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

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