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

DOI10.1080/17442508508833335zbMath0566.60061OpenAlexW2009348158MaRDI QIDQ3681673

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

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

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Cites Work

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• A finitely additive white noise approach to nonlinear filtering
• A martingale method for the convergence of a sequence of processes to a jump-diffusion process
• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides
• Asymptotic theory of mixing stochastic ordinary differential equations