A direct approach to deriving filtering equations for diffusion processes

DOI10.1007/s002450010015zbMath0974.60021OpenAlexW1998254003MaRDI QIDQ1840447

Nicolai V. Krylov, Aleksandar Zatezalo

Publication date: 16 December 2001

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://purl.umn.edu/3455

zbMATH Keywords

filtering equation\(L_p\)-theory of stochastic partial differential equationspartially observable diffusion processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

Kalman-Bucy filter and SPDEs with growing lower-order coefficients in \(W_{p}^{1}\) spaces without weights ⋮ Backward and forward filtering under the weak Hörmander condition ⋮ Filtering partially observable diffusions up to the exit time from a domain ⋮ On stochastic Langevin and Fokker-Planck equations: the two-dimensional case ⋮ Control of dynamical systems with discrete and uncertain observations

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