Fractional generalizations of Zakai equation and some solution methods

DOI10.1515/fca-2018-0020zbMath1401.60070OpenAlexW2807774408MaRDI QIDQ1799742

Fred Daum, Sabir R. Umarov, Kenric P. Nelson

Publication date: 19 October 2018

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.newhaven.edu/mathematics-facpubs/19

zbMATH Keywords

particle flowfractional filteringfractional Fokker-Planck-Kolmogorov equationfractional Zakai equation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Foundations of stochastic processes (60G05) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84)

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