Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes

DOI10.1016/0022-247X(76)90109-8zbMath0329.65059MaRDI QIDQ1227270

Harold J. Kushner

Publication date: 1976

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

Mathematics Subject Classification ID

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

65Z05: Applications to the sciences

35K99: Parabolic equations and parabolic systems

Related Items

Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions

Cites Work

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• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• On the optimal filtering of diffusion processes