Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory

DOI10.1080/17442508508833335MaRDI QIDQ3681673zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner, Hai Huang

Publication date 1985

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508508833335

zbMATH Keywords

cylindrical Wiener processweak convergence resultlarge bandwidthapproximating some weak problems as optimal stopping

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) PDEs with randomness, stochastic partial differential equations (35R60)

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• A martingale method for the convergence of a sequence of processes to a jump-diffusion process
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• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides

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• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• Kusuoka-Stroock gradient bounds for the solution of the filtering equation
• A diffusion-approximation theorem in navier-stokes equation
• On the convergence of partial differential equations of parabolic type with rapidly oscillating coefficients to stochastic partial differential equations
• scientific article; zbMATH DE number 4052714 (Why is no real title available?)
• Homogenized dynamics of stochastic partial differential equations with dynamical boundary conditions
• Diffusion-Approximations for Navier-Stokes Equation in Space-Time Gaussian Velocity Field
• The parametrix method approach to diffusions in a turbulent Gaussian environment
• scientific article; zbMATH DE number 4038951 (Why is no real title available?)
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• Scaling limits and homogenization of mixing Hamilton-Jacobi equations
• Stochastic processes and perturbation problems defined by parabolic equations with a small parameter

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