Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
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Cites work
- scientific article; zbMATH DE number 3578071 (Why is no real title available?)
- scientific article; zbMATH DE number 3304501 (Why is no real title available?)
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
- An Example of a Stochastic Differential Equation Having No Strong Solution
- Full “Bang” to Reduce Predicted Miss is Optimal
- ON WEAK CONVERGENCE OF SEMIMARTINGALES TO STOCHASTICALLY CONTINUOUS PROCESSES WITH INDEPENDENT AND CONDITIONALLY INDEPENDENT INCREMENTS
- On Kailath's Innovations Conjecture Hold
- On the Separation Theorem of Stochastic Control
- Some Extensions of the Innovations Theorem*
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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