Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients

DOI10.1109/TAC.1983.1103218zbMath0535.93063OpenAlexW2068297235MaRDI QIDQ3320258

William E. jun. Hopkins, John S. Baras, Gilmer L. Blankenship

Publication date: 1983

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1983.1103218

zbMATH Keywords

existence and uniqueness of solutionsZakai equationunnormalized conditional densityfiltering of diffusion processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Second-order parabolic equations (35K10)

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