Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
type: Item
instance of: scholarly article
title: Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
DOI: 10.1080/07362994.2024.2408250
author: Mattia Martini
published in: Stochastic Analysis and Applications
publication date: 2025-01-22T00:00:00Z
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 35D40
Mathematics Subject Classification ID: 35B51
zbMATH DE Number: 7972605
MaRDI profile type: Publication
cites work: Hamiltonian ODEs in the Wasserstein space of probability measures
cites work: Mean-field stochastic differential equations and associated PDEs
cites work: On differentiability in the Wasserstein space and well-posedness for Hamilton-Jacobi equations
cites work: Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
cites work: Bellman equation and viscosity solutions for mean-field stochastic control problem
cites work: Splitting methods and short time existence for the master equations in mean field games
cites work: Q4663947
cites work: Probabilistic Theory of Mean Field Games with Applications I
cites work: Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
cites work: The nisio semigroup for controlled diffusions with partial observations
cites work: Nonlinear Semigroup for Controlled Partially Observed Diffusions
cites work: Partially observed control of markov processes, ii
cites work: Partially observed control of Markov processes. IV
cites work: Q3997913
cites work: Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
cites work: Q3503154
cites work: On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
cites work: Q4151464
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Q4313775
cites work: Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
cites work: Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
cites work: Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
cites work: Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
cites work: Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
cites work: Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
cites work: Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
cites work: Q4086524
cites work: Q3971014
cites work: Invariance of stochastic control systems with deterministic arguments
cites work: Stochastic viability of convex sets
cites work: Q3039217
cites work: Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
cites work: Probability measure-valued polynomial diffusions
description: scientific article; zbMATH DE number 7972605