A stochastic feynman-kac formula for anticipating spde's, and application to nonlinear smoothing

DOI10.1080/17442509308833857zbMath0795.60054OpenAlexW2088844746MaRDI QIDQ4286663

Etienne Pardoux, Daniel L. Ocone

Publication date: 8 September 1994

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509308833857

zbMATH Keywords

stochastic partial differential equationsFeynman-Kac formulaSkorokhod integralnonlinear filtering problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Related Items (3)

Backward doubly stochastic differential equations and systems of quasilinear SPDEs ⋮ Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\) ⋮ Adapted solution of a degenerate backward SPDE, with applications

This page was built for publication: A stochastic feynman-kac formula for anticipating spde's, and application to nonlinear smoothing