On a general class of stochastic partial differential equations

DOI10.1007/BF01543101MaRDI QIDQ1118256zbMATH OpenOpenAlexFDO

Authors Alain Bensoussan

Publication date 1987

Published in Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01543101

zbMATH Keywords

stochastic partial differential equationsnonlinear filteringfixed point argumentZakai's equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Cites work

• Equations aux dérivées partielles stochastiques non linéaires. I
• Stochastic maximum principle for distributed parameter systems
• Stochastic partial differential equations and filtering of diffusion processes

Cited in

(13)

• Stochastic partial differential equations for a class of interacting measure-valued diffusions
• Homogenization problem for stochastic partial differential equations of Zakai type
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• A general model system related to affine stochastic differential equations
• Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
• A splitting method for nonlinear filtering problems with diffusive and point process observations
• scientific article; zbMATH DE number 1254413 (Why is no real title available?)
• The Zakai forms of the prediction and smoothing equations (Corresp.)
• A generalization of Mil’shtein’s theorem for stochastic differential equations
• Splitting-up spectral method for nonlinear filtering problems with correlation noises
• Consistency property of extended least-squares parameter estimation for stochastic diffusion equation
• Un théorème d'unicité pour l'equation de zakaï

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