Multidimensional Backward Stochastic Riccati Equations and Applications.
Michael KohlmannShanjian TangPublished in: SIAM J. Control. Optim. (2003)
Keyphrases
- stochastic differential equations
- forward and backward
- differential equations
- maximum a posteriori estimation
- fractional order
- hamilton jacobi
- brownian motion
- bi directional
- mathematical model
- stochastic optimization
- multidimensional data
- multi dimensional
- monte carlo
- fractional brownian motion
- multidimensional space
- stochastic process
- additive gaussian noise
- real time
- forward search
- multidimensional signals
- forward backward
- stochastic models
- stochastic model
- numerical solution
- probability distribution
- databases