Pathwise smoothing of Markov processes with noisy observations

DOI10.1016/0022-247X(82)90078-6zbMath0502.60031MaRDI QIDQ1172866

Vivek S. Borkar

Publication date: 1982

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Feynman-Kac formulapartially observed diffusion processesfunction space integrals

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Gaussian measures in Banach spaces
• Frechet-Volterra variational equations, boundary value problems, and function space integrals
• Stochastic partial differential equations and filtering of diffusion processes
• Existence of Optimal Stochastic Control Laws
• On the Solutions of a Stochastic Control System
• On Distributions of Certain Wiener Functionals
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