Nonlinear filtering of reflecting diffusion processes
type: Item
instance of: scholarly article
title: Nonlinear filtering of reflecting diffusion processes
zbMATH Open document ID: 0707.60039
DOI: 10.1016/0304-4149(90)90002-A
author: Hans-Peter Hucke
published in: Stochastic Processes and their Applications
publication date: 1990-01-01T00:00:00Z
review text: In the nonlinear filtering model \(y_ t=h_ t(X_ t)+e_ t\), \(0\leq t\leq T\), where \((e_ t)\) is a finitely additive white noise, the problem of finding the conditional density u(t,x) of \(X_ t\) given observations \(\{y_ u:\) \(0\leq u\leq t\}\) is considered when \((X_ t)\) is a reflecting diffusion process. It is shown that u(t,x) can be obtained as the unique classical solution of an initial-boundary value problem for a parabolic PDE.
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 4161789
zbMATH Keywords: white noise model
zbMATH Keywords: Feynman-Kac formula
zbMATH Keywords: nonlinear filtering model
zbMATH Keywords: reflecting diffusion process
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4161789