Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory

DOI10.1016/S0167-6911(81)80010-2zbMath0482.93067MaRDI QIDQ1162983

Hiroshi Kunita

Publication date: 1981

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

nonlinear filtering; multiple Wiener integral

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H05: Stochastic integrals

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions, Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form, On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise, Robust filtering for correlated multidimensional observations, Densities of a measure-valued process governed by a stochastic partial differential equation, Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain, Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises, Hypoellipticity theorems and conditional laws, Existence of optimal controls for partially observed diffusions

Cites Work

• Unnamed Item
• Multiple Wiener integral
• Stochastic partial differential equations and filtering of diffusion processes
• ON EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC EQUATIONS
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS