ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES

DOI10.1070/IM1978V012N02ABEH001857zbMATH Open0402.60077OpenAlexW1968194499MaRDI QIDQ4187119FDOQ4187119

Authors: N. V. Krylov, B. Rozovskii 

Publication date: 1978

Published in: Mathematics of the USSR-Izvestiya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/im1978v012n02abeh001857

zbMATH Keywords

Diffusion ProcessConditional DensitiesConditional Distributions of The Components of Diffusion ProcessesFiltering Equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Cited In (17)

• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Équations du filtrage non linéaire de la prédiction et du lissage
• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• On the Hamilton-Jacobi-Bellman equations
• Existence and uniqueness of solutions to a class of stochastic partial differential equations
• Characteristics of degenerate second-order parabolic Ito equations
• Stochastic evolution equations
• Diffusions conditionnelles. I. Hypoellipticité partielle
• On partially observed jump diffusions. II: The filtering density
• The technique for accurate and approximate synthesis of optimal continuous-time stochastic control systems
• Backward Nonlinear Smoothing Diffusions
• On the existence of optimal control for controlled stochastic partial differential equations
• Conditional distributions of discontinuous processes. I
• The stochastic filtering problem: a brief historical account
• A small time approximation for the solution to the Zakai equation
• Stochastic calculus of variations for stochastic partial differential equations
• Filtering partially observable diffusions up to the exit time from a domain

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