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arXiv · 1805.11038

Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences

Richard Archibald·Feng Bao·Peter Maksymovych
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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.

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Richard Archibald, Feng Bao, Peter Maksymovych. 2018-05-28. Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences. https://arxiv.org/abs/1805.11038

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