Explicit solution of a Kolmogorov equation

DOI10.1007/BF01182625zbMath0862.35017OpenAlexW2083667557MaRDI QIDQ1925029

Shing Tung Yau, Stephen Shing-Toung Yau

Publication date: 3 December 1996

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

Full work available at URL: https://doi.org/10.1007/bf01182625

zbMATH Keywords

finite-dimensional filtersnonlinear drifttruncated formal solution

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Initial value problems for second-order parabolic equations (35K15) Solutions to PDEs in closed form (35C05)

Related Items (3)

Continuous-discrete path integral filtering ⋮ Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program ⋮ Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods

Cites Work

• New classes of finite-dimensional nonlinear filters
• Some remarks on estimation algebras
• On a new class of finite dimensional estimation algebras
• Theorems on the structure of finite dimensional estimation algebras
• Stochastic differential equations for the non linear filtering problem
• Des resultats de non existence de filtre de dimension finie
• Structure and Classification Theorems of Finite-Dimensional Exact Estimation Algebras
• On a Necessary and Sufficient Condition for Finite Dimensionality of Estimation Algebras
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Finite-Dimensional Filters with Nonlinear Drift. II: Brockett’s Problem on Classification of Finite-Dimensional Estimation Algebras
• Finite-Dimensional Filters with Nonlinear Drift IV: Classification of Finite-Dimensional Estimation Algebras of Maximal Rank with State–Space Dimension 3
• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Explicit solution of a Kolmogorov equation