Pathwise smoothing of Markov processes with noisy observations

DOI10.1016/0022-247X(82)90078-6MaRDI QIDQ1172866zbMATH OpenFDO

Authors Vivek Borkar

Publication date 1982

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-247X(82)90078-6

zbMATH Keywords

Feynman-Kac formulafunction space integralspartially observed diffusion processes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Data smoothing in stochastic control theory (93E14)

Cites work

• Existence of Optimal Stochastic Control Laws
• Frechet-Volterra variational equations, boundary value problems, and function space integrals
• Gaussian measures in Banach spaces
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• On Distributions of Certain Wiener Functionals
• On the Solutions of a Stochastic Control System
• Stochastic partial differential equations and filtering of diffusion processes

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