Filtering for non-Markovian SDEs involving nonlinear SPDEs and backward parabolic equations

DOI10.1007/S00245-014-9244-6zbMATH Open1309.60060OpenAlexW2064261196MaRDI QIDQ480995FDOQ480995

Authors: Daniela Ijacu, Marinela Marinescu 

Publication date: 12 December 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9244-6

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zbMATH Keywords

filteringnon-Markovian stochastic differential equationsbackward parabolic equationsnonlinear stochastic partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Title not available (Why is that?)
• Fully nonlinear stochastic partial differential equations
• Backward Stochastic Differential Equations in Finance
• A pathwise solution for nonlinear parabolic equations with stochastic perturbations
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• Stochastic partial differential equations and applications
• On some parabolic SPDE involving gradient representation of stochastic flows
• Functionals associated with gradient stochastic flows and nonlinear SPDEs
• Stochastic Hamiltonians associated with finite dimensional nonlinear filters and non-smooth final value

Cited In (5)

• Explicit strong solutions of SPDE's with applications to nonlinear filtering
• Two problems for stochastic flows associated with nonlinear parabolic equations
• McKean--Vlasov SDEs in Nonlinear Filtering
• The second order of AdS for reverse parabolic boundary value problem with integral condition
• Title not available (Why is that?)

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