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

fixed point argumentnonlinear filteringstochastic partial differential equationsZakai's equation

Mathematics Subject Classification ID

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

Review text

This paper concerns a general class of stochastic partial differential equations containing as a particular case Zakai's equation of nonlinear filtering. Existence and uniqueness is obtained by a straighforward fixed point argument.

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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

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(14)

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