Un théorème d'unicité pour l'equation de zakaï

DOI10.1080/17442509008833605zbMath0696.60043OpenAlexW1974452969MaRDI QIDQ3472926

Mireille Chaleyat-Maurel, Etienne Pardoux, Dominique Michel

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833605

zbMATH Keywords

pseudo-differential operatorsnonlinear filtering theoryZakaï equationSobolev space of negative indexstochastic partial differential

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• The nonlinear filtering problem for the unbounded case
• Unique characterization of conditional distributions in nonlinear filtering
• Hypoellipticity theorems and conditional laws
• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• Stochastic partial differential equations and diffusion processes
• On the degenerate parabolic partial differential equations of nonlinear filtering
• Équations du filtrage non linéaire de la prédiction et du lissage
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

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