Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program

DOI10.1006/aima.1998.1767zbMath0935.93059OpenAlexW2140426996MaRDI QIDQ1281885

Stephen Shing-Toung Yau, Shing Tung Yau

Publication date: 22 April 1999

Published in: Advances in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/aima.1998.1767

zbMATH Keywords

finite-dimensional filtersZakai equationnonlinear drift

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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