Filtering partially observable diffusions up to the exit time from a domain

DOI10.1016/j.spa.2011.04.008zbMath1233.62168OpenAlexW2006901574MaRDI QIDQ555023

Teng Wang, Nicolai V. Krylov

Publication date: 22 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://purl.umn.edu/135834

zbMATH Keywords

stochastic partial differential equationsfiltering equations in domains

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

Related Items (4)

A relatively short proof of Itô's formula for SPDEs and its applications ⋮ Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Corporate security prices in structural credit risk models with incomplete information ⋮ On singularity as a function of time of a conditional distribution of an exit time

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• Brownian Trajectory Is a Regular Lateral Boundary for the Heat Equation
• Stochastic evolution equations

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