An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering

DOI10.1080/17442509408833952MaRDI QIDQ4885243zbMATH OpenOpenAlexWikidataFDO

Authors Fred Espen Benth

Publication date 15 July 1996

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/43332

zbMATH Keywords

stochastic partial differential equationswhite noisenonlinear filteringHermite transform

Mathematics Subject Classification ID

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

Cited in

(5)

• Explicit strong solutions of SPDE's with applications to nonlinear filtering
• Using bases of finite functions in problems of filtering of a priori uncertain time-dependent processes on stochastic spatial fractals
• CONTINUOUS DEPENDENCE ON INITIAL DATA FOR SOLUTIONS OF NONLINEAR STOCHASTIC EVOLUTION EQUATIONS
• Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
• On a method for an effective calculation of optimal estimates in problems of filtration of random processes for certain nonlinear evolution differential equations in Hilbert space. Part II

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