Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations

DOI10.1137/15M1013304zbMath1355.60085MaRDI QIDQ2954475

Peter E. Caines, Nevroz Şen

Publication date: 13 January 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic partial differential equationsDuncan-Mortensen-Zakai equationnonlinear filtering theorystochastic McKean-Vlasov equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Vlasov equations (35Q83) Fokker-Planck equations (35Q84)

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