ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES

DOI10.1070/IM1978V012N02ABEH001857MaRDI QIDQ4187119zbMATH OpenOpenAlexFDO

Authors N. V. Krylov, B. Rozovskii

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

Conditional DensitiesConditional Distributions of The Components of Diffusion ProcessesDiffusion ProcessFiltering Equation

Mathematics Subject Classification ID

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

Cited in

(18)

• Characteristics of degenerate second-order parabolic Ito equations
• On the Hamilton-Jacobi-Bellman equations
• Stochastic calculus of variations for stochastic partial differential equations
• 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
• 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
• On the existence of optimal control for controlled stochastic partial differential equations
• Existence and uniqueness of solutions to a class of stochastic partial differential equations
• Équations du filtrage non linéaire de la prédiction et du lissage
• Backward Nonlinear Smoothing Diffusions
• The technique for accurate and approximate synthesis of optimal continuous-time stochastic control systems
• The stochastic filtering problem: a brief historical account
• Filtering partially observable diffusions up to the exit time from a domain
• Stochastic evolution equations
• On partially observed jump diffusions. II: The filtering density
• On partially observed jump diffusions. III: Regularity of the filtering density

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