The approximation of stochastic partial differential equations and applications in nonlinear filtering

DOI10.1016/0898-1221(90)90081-TzbMath0711.60053OpenAlexW2014691806MaRDI QIDQ923499

István Gyöngy

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(90)90081-t

zbMATH Keywords

perturbed Cauchy problemperturbed stochastic evolution equationunnormalized conditional densityZakaî equation of the nonlinear filtering theory

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)

Related Items

Wong-Zakai approximations for stochastic differential equations, A (rough) pathwise approach to a class of non-linear stochastic partial differential equations, Rough path stability of (semi-)linear SPDEs

Cites Work

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• Stochastic partial differential equations and filtering of diffusion processes
• Une propriete de continuite en filtrage non lineaire