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

DOI10.1007/S00245-014-9244-6MaRDI QIDQ480995zbMATH OpenOpenAlexFDO

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

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)

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• A pathwise solution for nonlinear parabolic equations with stochastic perturbations
• Backward Stochastic Differential Equations in Finance
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Fully nonlinear stochastic partial differential equations
• Functionals associated with gradient stochastic flows and nonlinear SPDEs
• On some parabolic SPDE involving gradient representation of stochastic flows
• Stochastic Hamiltonians associated with finite dimensional nonlinear filters and non-smooth final value
• Stochastic partial differential equations and applications
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I

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(5)

• Explicit strong solutions of SPDE's with applications to nonlinear filtering
• scientific article; zbMATH DE number 3951702 (Why is no real title available?)
• The second order of AdS for reverse parabolic boundary value problem with integral condition
• Two problems for stochastic flows associated with nonlinear parabolic equations
• McKean--Vlasov SDEs in Nonlinear Filtering

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