Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
DOI10.1016/0304-4149(77)90034-5zbMATH Open0367.60059OpenAlexW1973135038MaRDI QIDQ1242377FDOQ1242377
Authors: Václav E. Beneš 
Publication date: 1977
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(77)90034-5
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)
Cites Work
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- On the Separation Theorem of Stochastic Control
- An Example of a Stochastic Differential Equation Having No Strong Solution
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
- On Kailath's Innovations Conjecture Hold
- Some Extensions of the Innovations Theorem*
- Full “Bang” to Reduce Predicted Miss is Optimal
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- ON WEAK CONVERGENCE OF SEMIMARTINGALES TO STOCHASTICALLY CONTINUOUS PROCESSES WITH INDEPENDENT AND CONDITIONALLY INDEPENDENT INCREMENTS
Cited In (7)
- Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
- On the integral representation of functionals of ltd processest
- Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
- On extremal solutions of martingale problems
- New results on the innovations problem for non-linear filtering
- Realizing a weak solution on a probability space
- Filtering of diffusions controlled through their conditional measures†
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