Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients

zbMath1223.93112arXiv0908.1935MaRDI QIDQ3015743

Nicolai V. Krylov

Publication date: 13 July 2011

Full work available at URL: https://arxiv.org/abs/0908.1935

zbMATH Keywords

stochastic partial differential equations (SPDEs)filtering equationsfiltering problem for partially observable diffusion processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Kalman-Bucy filter and SPDEs with growing lower-order coefficients in \(W_{p}^{1}\) spaces without weights ⋮ Global \(\boldsymbol{L}_{\boldsymbol{p}}\) Estimates for Kinetic Kolmogorov–Fokker–Planck Equations in Divergence Form ⋮ Itô's formula for the \(L _{p }\)-norm of stochastic \({W^{1}_{p}}\)-valued processes ⋮ Filtering partially observable diffusions up to the exit time from a domain

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