Explicit solution of a Kolmogorov equation

DOI10.1007/BF01182625MaRDI QIDQ1925029zbMATH OpenOpenAlexFDO

Authors Shing-Tung Yau, Stephen Yau

Publication date 3 December 1996

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01182625

zbMATH Keywords

finite-dimensional filtersnonlinear drifttruncated formal solution

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Solutions to PDEs in closed form (35C05) Initial value problems for second-order parabolic equations (35K15)

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Cites work

• scientific article; zbMATH DE number 3773484 (Why is no real title available?)
• scientific article; zbMATH DE number 3782849 (Why is no real title available?)
• scientific article; zbMATH DE number 3503742 (Why is no real title available?)
• scientific article; zbMATH DE number 590906 (Why is no real title available?)
• Des resultats de non existence de filtre de dimension finie
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Finite-Dimensional Filters with Nonlinear Drift IV: Classification of Finite-Dimensional Estimation Algebras of Maximal Rank with State–Space Dimension 3
• Finite-Dimensional Filters with Nonlinear Drift. II: Brockett’s Problem on Classification of Finite-Dimensional Estimation Algebras
• New classes of finite-dimensional nonlinear filters
• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials
• On a Necessary and Sufficient Condition for Finite Dimensionality of Estimation Algebras
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On a new class of finite dimensional estimation algebras
• Some remarks on estimation algebras
• Stochastic differential equations for the non linear filtering problem
• Structure and Classification Theorems of Finite-Dimensional Exact Estimation Algebras
• Theorems on the structure of finite dimensional estimation algebras

Cited in

(10)

• Solution of the Kolmogorov equation for TASEP
• Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
• Kolmogorov equation for solutions of Cauchy problems for a class of linear evolution equations
• Finite-dimensional filters with nonlinear drift X: explicit solution of DMZ equation
• Continuous-discrete path integral filtering
• Special solutions to some Kolmogorov equations arising from cubic sensor problems
• On exact solutions to the Kolmogorov-Feller equation
• Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program
• Finite-dimensional estimation algebra on arbitrary state dimension with nonmaximal rank: linear structure of Wong matrix
• Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods

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