Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control

DOI10.1016/0304-4149(77)90034-5zbMath0367.60059OpenAlexW1973135038MaRDI QIDQ1242377

Václav E. Beneš

Publication date: 1977

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(77)90034-5

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Related Items (7)

Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions ⋮ Filtering of diffusions controlled through their conditional measures^† ⋮ On the integral representation of functionals of ltd processest ⋮ Realizing a weak solution on a probability space ⋮ On extremal solutions of martingale problems ⋮ New results on the innovations problem for non-linear filtering ⋮ Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.

Cites Work

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• On the Separation Theorem of Stochastic Control
• Some Extensions of the Innovations Theorem*

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