Filtering of absorbing and reflecting Brownian motions

DOI10.1016/0167-6911(86)90074-5MaRDI QIDQ1821079zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Publication:3203778
• Filtering of a reflected Brownian motion with respect to its local time
• Nonlinear filtering of reflecting diffusion processes
• On the filtration problem of diffusion processes
• scientific article; zbMATH DE number 4095357

Cites work

• scientific article; zbMATH DE number 3686490 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A note on the structure of processes the measure of which is absolutely continuous with respect to the wiener process modulus measure
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
• On stochastic bang bang control
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

Cited in

(6)

• Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches
• Filtering of a reflected Brownian motion with respect to its local time
• On the filtration of historical Brownian motion
• A representation theorem on a filtering model with first-passage-type stopping time
• Recognising Whether a Filtration is Brownian: a Case Study
• scientific article; zbMATH DE number 4180430 (Why is no real title available?)

This page was built for publication: Filtering of absorbing and reflecting Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1821079)