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

DOI10.1007/s00245-014-9244-6zbMath1309.60060OpenAlexW2064261196MaRDI QIDQ480995

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

filteringbackward parabolic equationsnon-Markovian stochastic differential equationsnonlinear stochastic partial differential equations

Mathematics Subject Classification ID

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

Related Items (1)

The second order of ADS for reverse parabolic boundary value problem with integral condition

Cites Work

• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• A pathwise solution for nonlinear parabolic equations with stochastic perturbations
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Fully nonlinear stochastic partial differential equations
• Backward Stochastic Differential Equations in Finance
• Functionals Associated with Gradient Stochastic Flows and Nonlinear SPDEs
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