Filtering, Smoothing and Prediction of Degenerate Diffusion Processes. Backward Equations

DOI10.1137/1128074zbMATH Open0544.60049OpenAlexW1993966340MaRDI QIDQ3333810FDOQ3333810

Authors: B. Rozovskii 

Publication date: 1984

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1128074

zbMATH Keywords

degenerate diffusion process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cited In (2)

• Backward Nonlinear Smoothing Diffusions
• Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation

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