The approximation of stochastic partial differential equations and applications in nonlinear filtering (Q923499): Difference between revisions
From MaRDI portal
Revision as of 11:54, 21 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The approximation of stochastic partial differential equations and applications in nonlinear filtering |
scientific article |
Statements
The approximation of stochastic partial differential equations and applications in nonlinear filtering (English)
0 references
1990
0 references
The author considers the perturbed stochastic evolution equation \[ du_ t=Au_ tdt+F dH_ t+(B_ iu_ t+G_ i)dM^ i_ t \] and the perturbed Cauchy problem \[ dv_ t=({\mathcal L}v_ t+f)dH_ t+({\mathcal M}_ iv_ t+g_ i)dM^ i_ t,\quad v_ 0\quad fixed, \] where A, \(B_ i\) (1\(\leq i\leq d)\) are unbounded linear operators, \({\mathcal L}\) is a second order differential operator, \({\mathcal M}_ i\) (1\(\leq i\leq d)\) are first order differential operators, H is an increasing process and \(M^ i\) (1\(\leq i\leq d)\) are continuous semimartingales. This paper extends to the general situation (i.e. A is dissipative and \({\mathcal L}\) is degenerate) previous results of the author. A Stroock- Varadhan's type theorem for the support of the two equations is obtained: the support is described as the closure of the paths for the related control equations. These results are applied to the Zakaî equation of the nonlinear filtering theory in order to obtain the description of the support of the unnormalized conditional density on the space \({\mathcal C}([0,T],W^ m_ 2(r))\).
0 references
perturbed stochastic evolution equation
0 references
perturbed Cauchy problem
0 references
Zakaî equation of the nonlinear filtering theory
0 references
unnormalized conditional density
0 references