On an Optimal Filtration Problem for One-Dimensional Diffusion Processes

DOI10.3103/S105513441803001XzbMath1413.60057OpenAlexW2888302661WikidataQ129335989 ScholiaQ129335989MaRDI QIDQ4558328

G. R. Kagirova, F. S. Nasyrov

Publication date: 21 November 2018

Published in: Siberian Advances in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s105513441803001x

zbMATH Keywords

diffusion processoptimal filtration problemfiltered density

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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• On integration of systems of stochastic differential equations
• On the optimal filtering of diffusion processes
• Stochastic differential equations. An introduction with applications.

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