ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES

DOI10.1070/IM1978V012N02ABEH001857zbMath0402.60077OpenAlexW1968194499MaRDI QIDQ4187119

Nicolai V. Krylov, Boris L. Rosovskii

Publication date: 1978

Published in: Mathematics of the USSR-Izvestiya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/im1978v012n02abeh001857

zbMATH Keywords

Diffusion ProcessConditional DensitiesConditional Distributions of The Components of Diffusion ProcessesFiltering Equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (17)

On the Hamilton-Jacobi-Bellman equations ⋮ Stochastic calculus of variations for stochastic partial differential equations ⋮ On the existence of optimal control for controlled stochastic partial differential equations ⋮ Unnamed Item ⋮ Existence and uniqueness of solutions to a class of stochastic partial differential equations ⋮ Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation ⋮ A small time approximation for the solution to the Zakai equation ⋮ Conditional distributions of discontinuous processes. I ⋮ Diffusions conditionnelles. I. Hypoellipticité partielle ⋮ Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique ⋮ Stochastic evolution equations ⋮ Filtering partially observable diffusions up to the exit time from a domain ⋮ On partially observed jump diffusions. II: The filtering density ⋮ The stochastic filtering problem: a brief historical account ⋮ Backward Nonlinear Smoothing Diffusions ⋮ Équations du filtrage non linéaire de la prédiction et du lissage ⋮ Characteristics of degenerate second-order parabolic Ito equations

This page was built for publication: ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES