Finite dimensional realizations of stochastic p.d.e.'s and application to filtering

DOI10.1080/17442509108833728zbMath0739.60031OpenAlexW2089838309MaRDI QIDQ3986624

Jean Lévine

Publication date: 27 June 1992

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

Full work available at URL: https://doi.org/10.1080/17442509108833728

zbMATH Keywords

stochastic partial differential equationsgauge transformationsimmersionrealizationsfinite dimensional filter

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)

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Reduction of the Zakai equation by invariance group techniques ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics ⋮ Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters

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