On the Time Discretization of the Feynman-Kac Forward-Backward Stochastic Differential Equations for Value Function Approximation.
Kelsey P. HawkinsAli PakniyatPanagiotis TsiotrasPublished in: CoRR (2021)
Keyphrases
- forward backward
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- hidden markov models
- additive gaussian noise
- fractional brownian motion
- state space
- differential equations
- noise level
- long range
- stochastic process
- diffusion process
- poisson process
- closed form
- non stationary
- dynamic programming