Solution of certain parabolic equations with unbounded coefficients and its application to nonlinear filtering

DOI10.1080/17442508308833261zbMath0533.60068OpenAlexW1974487126MaRDI QIDQ3316322

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Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833261

zbMATH Keywords

uniquenessZakai equationsgrowth estimates for the solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (7)

On the degenerate parabolic partial differential equations of nonlinear filtering ⋮ Stochastic partial differential equations with unbounded coefficients and applications. III ⋮ Gaussian upper bounds for heat kernels of second order complex elliptic operators with unbounded diffusion coefficients on arbitrary domains ⋮ Existence and uniqueness of solutions to a class of stochastic partial differential equations ⋮ Approximate solution of the Fokker‐Planck‐Kolmogorov equation by finite elements ⋮ Elliptic and Parabolic Second-Order PDEs with Growing Coefficients ⋮ On stochastic partial differential equations with unbounded coefficients

Cites Work

• Optimal Control for Partially Observed Diffusions
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
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