Markovian forward-backward stochastic differential equations and stochastic flows.
Robert J. ElliottTak Kuen SiuPublished in: Syst. Control. Lett. (2012)
Keyphrases
- forward backward
- stochastic differential equations
- brownian motion
- maximum a posteriori estimation
- hidden markov models
- fractional brownian motion
- additive gaussian noise
- stochastic process
- poisson process
- stochastic processes
- optimal control
- non stationary
- long range
- diffusion process
- financial markets
- vector valued
- denoising
- bayesian networks