Beck, Christian; Becker, Sebastian; Cheridito, Patrick; Jentzen, Arnulf; Neufeld, Ariel An efficient Monte Carlo scheme for Zakai equations. (English) Zbl 07758890 Commun. Nonlinear Sci. Numer. Simul. 126, Article ID 107438, 27 p. (2023). MSC: 93E11 93C20 60H15 PDFBibTeX XMLCite \textit{C. Beck} et al., Commun. Nonlinear Sci. Numer. Simul. 126, Article ID 107438, 27 p. (2023; Zbl 07758890) Full Text: DOI arXiv
Zhang, Fengshan; Zou, Yongkui; Chai, Shimin; Zhang, Ran; Cao, Yanzhao Splitting-up spectral method for nonlinear filtering problems with correlation noises. (English) Zbl 1498.93751 J. Sci. Comput. 93, No. 1, Paper No. 25, 24 p. (2022). MSC: 93E11 93C20 60H15 PDFBibTeX XMLCite \textit{F. Zhang} et al., J. Sci. Comput. 93, No. 1, Paper No. 25, 24 p. (2022; Zbl 1498.93751) Full Text: DOI
Archibald, Richard; Bao, Feng Kernel learning backward SDE filter for data assimilation. (English) Zbl 07518091 J. Comput. Phys. 455, Article ID 111009, 16 p. (2022). MSC: 60Hxx 65Cxx 60Gxx PDFBibTeX XMLCite \textit{R. Archibald} and \textit{F. Bao}, J. Comput. Phys. 455, Article ID 111009, 16 p. (2022; Zbl 07518091) Full Text: DOI
Li, Xin; Bao, Feng; Gallivan, Kyle A drift homotopy implicit particle filter method for nonlinear filtering problems. (English) Zbl 1492.60099 Discrete Contin. Dyn. Syst., Ser. S 15, No. 4, 727-746 (2022). MSC: 60G35 62M20 93E11 PDFBibTeX XMLCite \textit{X. Li} et al., Discrete Contin. Dyn. Syst., Ser. S 15, No. 4, 727--746 (2022; Zbl 1492.60099) Full Text: DOI arXiv
Xu, Long-Hao; Fang, Kai-Tai; He, Ping Properties and generation of representative points of the exponential distribution. (English) Zbl 07504790 Stat. Pap. 63, No. 1, 197-223 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{L.-H. Xu} et al., Stat. Pap. 63, No. 1, 197--223 (2022; Zbl 07504790) Full Text: DOI
Reisinger, Christoph; Wang, Zhenru Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations. (English) Zbl 1497.65017 Bungartz, Hans-Joachim (ed.) et al., Sparse grids and applications – Munich 2018. Selected papers based on the presentations at the fifth workshop, SGA2018, Munich, Germany, July 23–27, 2018. Cham: Springer. Lect. Notes Comput. Sci. Eng. 144, 205-228 (2021). MSC: 65C30 35R60 60H35 65D40 65M75 PDFBibTeX XMLCite \textit{C. Reisinger} and \textit{Z. Wang}, Lect. Notes Comput. Sci. Eng. 144, 205--228 (2021; Zbl 1497.65017) Full Text: DOI arXiv
Bao, Feng; Archibald, Richard; Maksymovych, Peter Lévy backward SDE filter for jump diffusion processes and its applications in material sciences. (English) Zbl 1473.65012 Commun. Comput. Phys. 27, No. 2, 589-618 (2020). MSC: 65C30 60G35 65K10 PDFBibTeX XMLCite \textit{F. Bao} et al., Commun. Comput. Phys. 27, No. 2, 589--618 (2020; Zbl 1473.65012) Full Text: DOI arXiv
Reisinger, Christoph; Wang, Zhenru Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE. (English) Zbl 1437.65006 BIT 59, No. 4, 987-1029 (2019). MSC: 65C30 60H15 65M06 65T50 65M12 PDFBibTeX XMLCite \textit{C. Reisinger} and \textit{Z. Wang}, BIT 59, No. 4, 987--1029 (2019; Zbl 1437.65006) Full Text: DOI arXiv
Bao, Feng; Cao, Yanzhao; Zhao, Weidong A backward doubly stochastic differential equation approach for nonlinear filtering problems. (English) Zbl 1488.65008 Commun. Comput. Phys. 23, No. 5, 1573-1601 (2018). MSC: 65C30 60G35 60H10 60H35 93E11 PDFBibTeX XMLCite \textit{F. Bao} et al., Commun. Comput. Phys. 23, No. 5, 1573--1601 (2018; Zbl 1488.65008) Full Text: DOI
Ibrahim, Dalia; Abergel, Frédéric Non-linear filtering and optimal investment under partial information for stochastic volatility models. (English) Zbl 1410.91419 Math. Methods Oper. Res. 87, No. 3, 311-346 (2018). MSC: 91G10 91G80 60G48 35Q91 PDFBibTeX XMLCite \textit{D. Ibrahim} and \textit{F. Abergel}, Math. Methods Oper. Res. 87, No. 3, 311--346 (2018; Zbl 1410.91419) Full Text: DOI arXiv
Bao, Feng; Maroulas, Vasileios Adaptive meshfree backward SDE filter. (English) Zbl 1386.93285 SIAM J. Sci. Comput. 39, No. 6, A2664-A2683 (2017). MSC: 93E11 60J22 65C05 65C35 65C60 PDFBibTeX XMLCite \textit{F. Bao} and \textit{V. Maroulas}, SIAM J. Sci. Comput. 39, No. 6, A2664--A2683 (2017; Zbl 1386.93285) Full Text: DOI
Luschgy, Harald; Pagès, Gilles Greedy vector quantization. (English) Zbl 1398.60074 J. Approx. Theory 198, 111-131 (2015). MSC: 60G99 60G35 62E17 PDFBibTeX XMLCite \textit{H. Luschgy} and \textit{G. Pagès}, J. Approx. Theory 198, 111--131 (2015; Zbl 1398.60074) Full Text: DOI arXiv
Bao, Feng; Cao, Yanzhao; Zhao, Weidong A first order semi-discrete algorithm for backward doubly stochastic differential equations. (English) Zbl 1382.60091 Discrete Contin. Dyn. Syst., Ser. B 20, No. 5, 1297-1313 (2015). MSC: 60H35 60H10 60H15 PDFBibTeX XMLCite \textit{F. Bao} et al., Discrete Contin. Dyn. Syst., Ser. B 20, No. 5, 1297--1313 (2015; Zbl 1382.60091) Full Text: DOI
Pagès, Gilles Introduction to vector quantization and its applications for numerics. (English) Zbl 1338.60114 ESAIM, Proc. Surv. 48, 29-79 (2015). MSC: 60G35 65C05 62E17 81S05 94A15 PDFBibTeX XMLCite \textit{G. Pagès}, ESAIM, Proc. Surv. 48, 29--79 (2015; Zbl 1338.60114) Full Text: DOI
Ceci, Claudia; Colaneri, Katia The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness. (English) Zbl 1291.93303 Appl. Math. Optim. 69, No. 1, 47-82 (2014). MSC: 93E11 60J75 60H10 PDFBibTeX XMLCite \textit{C. Ceci} and \textit{K. Colaneri}, Appl. Math. Optim. 69, No. 1, 47--82 (2014; Zbl 1291.93303) Full Text: DOI arXiv
Sarkar, S.; Chowdhury, S. R.; Venugopal, M.; Vasu, R. M.; Roy, D. A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification. (English) Zbl 1285.93101 Physica D 270, 46-59 (2014). MSC: 93E12 93E11 93E25 93C10 PDFBibTeX XMLCite \textit{S. Sarkar} et al., Physica D 270, 46--59 (2014; Zbl 1285.93101) Full Text: DOI arXiv
Pagès, Gilles; Wilbertz, Benedikt Optimal Delaunay and Voronoi quantization schemes for pricing American style options. (English) Zbl 1247.91199 Carmona, René A. (ed.) et al., Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Berlin: Springer (ISBN 978-3-642-25745-2/hbk; 978-3-642-25746-9/ebook). Springer Proceedings in Mathematics 12, 171-213 (2012). MSC: 91G60 91G20 65C50 62L15 60F25 65D32 PDFBibTeX XMLCite \textit{G. Pagès} and \textit{B. Wilbertz}, Springer Proc. Math. 12, 171--213 (2012; Zbl 1247.91199) Full Text: DOI HAL
Pagès, Gilles; Sagna, Abass Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers. (English) Zbl 1245.60052 Bernoulli 18, No. 1, 360-389 (2012). Reviewer: Werner Linde (Jena) MSC: 60G70 60F99 PDFBibTeX XMLCite \textit{G. Pagès} and \textit{A. Sagna}, Bernoulli 18, No. 1, 360--389 (2012; Zbl 1245.60052) Full Text: DOI arXiv
Milstein, G. N.; Tretyakov, M. V. Solving parabolic stochastic partial differential equations via averaging over characteristics. (English) Zbl 1198.65033 Math. Comput. 78, No. 268, 2075-2106 (2009). MSC: 65C30 60H15 60H35 60G35 PDFBibTeX XMLCite \textit{G. N. Milstein} and \textit{M. V. Tretyakov}, Math. Comput. 78, No. 268, 2075--2106 (2009; Zbl 1198.65033) Full Text: DOI