Year: 2020
Author: Feng Bao, Richard Archibald, Peter Maksymovych
Communications in Computational Physics, Vol. 27 (2020), Iss. 2 : pp. 589–618
Abstract
We develop a novel numerical method for solving the nonlinear filtering problem of jump diffusion processes. The methodology is based on numerical approximation of backward stochastic differential equation systems driven by jump diffusion processes and we apply adaptive meshfree approximation to improve the efficiency of numerical algorithms. We then use the developed method to solve atom tracking problems in material science applications. Numerical experiments are carried out for both classic nonlinear filtering of jump diffusion processes and the application of nonlinear filtering problems in tracking atoms in material science problems.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/cicp.OA-2018-0238
Communications in Computational Physics, Vol. 27 (2020), Iss. 2 : pp. 589–618
Published online: 2020-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 30
Keywords: Nonlinear filtering problem backward SDEs jump diffusion processes material sciences.