Year: 2016
International Journal of Numerical Analysis and Modeling, Vol. 13 (2016), Iss. 4 : pp. 493–512
Abstract
This paper is a survey on some recent results in optimal control and stochastic filtering. The goal is not to cover all recent developments in control and filtering, instead we focus on maximum principle for optimality of partial information backward or forward-backward stochastic differential equations and branching particle approximation of nonlinear filtering.
You do not have full access to this article.
Already a Subscriber? Sign in as an individual or via your institution
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2016-IJNAM-449
International Journal of Numerical Analysis and Modeling, Vol. 13 (2016), Iss. 4 : pp. 493–512
Published online: 2016-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 20
Keywords: Branching particle system forward-backward stochastic differential equation numerical approximation maximum principle stochastic filtering.