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math.PR2021★ 1 cited
Analysis of the feedback particle filter with diffusion map based approximation of the gain
Sahani Pathiraja, Wilhelm Stannat
Control-type particle filters have been receiving increasing attention over the last decade as a means of obtaining sample based approximations to the sequential Bayesian filtering…
math.PR2021★ 9 cited
Peng's Maximum Principle for Stochastic Partial Differential Equations
Wilhelm Stannat, Lukas Wessels
We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent dif…