Filtering of absorbing and reflecting Brownian motions

DOI10.1016/0167-6911(86)90074-5zbMATH Open0615.93067OpenAlexW2028187494MaRDI QIDQ1821079FDOQ1821079

Tadeusz Banek

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6911(86)90074-5

zbMATH Keywords

Brownian motionnonlinear filteringVolterra equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Brownian motion (60J65) Initial-boundary value problems for second-order parabolic equations (35K20) Volterra integral equations (45D05)

Cites Work

• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on the structure of processes the measure of which is absolutely continuous with respect to the wiener process modulus measure
• Title not available (Why is that?)
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Title not available (Why is that?)
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
• On stochastic bang bang control

Cited In (4)

• Filtering of a reflected Brownian motion with respect to its local time
• On the filtration of historical Brownian motion
• Recognising Whether a Filtration is Brownian: a Case Study
• Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches

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