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

DOI10.1080/17442509408833952zbMATH Open0851.60061OpenAlexW2074567746WikidataQ115295030 ScholiaQ115295030MaRDI QIDQ4885243FDOQ4885243

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

This page was built for publication: An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4885243)