Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
From MaRDI portal
(Redirected from Publication:6157007)
Abstract: We introduce and study some backward Kolmogorov equations associated to stochastic filtering problems. Measure-valued processed arise naturally in the context of stochastic filtering and one can formulate two stochastic differential equations, called Zakai and Kushner-Stratonovitch equation, that are satisfied by a positive measure and a probability measure-valued process respectively. The associated Kolmogorov equations have been intensively studied, mainly assuming that the measure-valued processes admit a density and then by exploiting stochastic calculus techniques in Hilbert spaces. Our approach differs from this since we do not assume the existence of a density and we work directly in the context of measures. We first formulate two Kolmogorov equations of parabolic type, one on a space of positive measures and one on a space of probability measures, and then we prove existence and uniqueness of classical solutions. In order to do that, we prove some intermediate results of independent interest. In particular, we prove It^o formulas for the composition of measure-valued filtering processes and real-valued functions. Moreover we study the regularity of the solution to the filtering equations with respect to the initial datum. In order to achieve these results, proper notions of derivatives on space of positive measures have been introduced and discussed.
The main aim of this paper is to study the backward Kolmogorov equations of parabolic type associated to measure-valued processes arising in the context of stochastic filtering (Zakai and Kushner-Stratonovich equation). The principal result deals with the existence and uniqueness of classical solutions to these partial differential equations, although other intermediate results are of independent interest. The author's approach differs from this since he does not assume the existence of a density and he works directly in the context of measures. The author first formulates two Kolmogorov equations on spaces of measures, and then he proves the existence and uniqueness of classical solutions.
Recommendations
- Kolmogorov operators in spaces of continuous functions and equations for measures
- Kolmogorov equations for measures
- Nonlinear Fokker-Planck-Kolmogorov equations for measures
- scientific article; zbMATH DE number 1174336
- Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
- scientific article; zbMATH DE number 1375552
- Kernel estimates for nonautonomous Kolmogorov equations
- Nonlinear filtering and measure-valued processes
Cites work
- An infinite-dimensional approach to path-dependent Kolmogorov equations
- An introduction to stochastic filtering theory.
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Derivative formulas in measure on Riemannian manifolds
- Fokker-Planck-Kolmogorov equations
- Fundamentals of stochastic filtering
- scientific article; zbMATH DE number 446474 (Why is no real title available?)
- scientific article; zbMATH DE number 4211182 (Why is no real title available?)
- scientific article; zbMATH DE number 48405 (Why is no real title available?)
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- scientific article; zbMATH DE number 3582989 (Why is no real title available?)
- scientific article; zbMATH DE number 1776363 (Why is no real title available?)
- scientific article; zbMATH DE number 2152346 (Why is no real title available?)
- scientific article; zbMATH DE number 961212 (Why is no real title available?)
- Long time average of first order mean field games and weak KAM theory
- Mean field approach to stochastic control with partial information
- Mean-field stochastic differential equations and associated PDEs
- Nonlinear Markov processes and kinetic equations.
- On differentiability in the Wasserstein space and well-posedness for Hamilton-Jacobi equations
- On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
- Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
- Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
- The Master Equation and the Convergence Problem in Mean Field Games
- Topics in uniform approximation of continuous functions
- Unique characterization of conditional distributions in nonlinear filtering
- Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
Cited in
(12)- Evolution equations for Markov processes: Application to the white-noise theory of filtering
- Explicit solution of a Kolmogorov equation
- Density of subalgebras of Lipschitz functions in metric Sobolev spaces and applications to Wasserstein Sobolev spaces
- On smooth approximations in the Wasserstein space
- Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach
- Comparison for semi-continuous viscosity solutions for second order PDEs on the Wasserstein space
- Convergence rate of particle system for second-order PDEs on Wasserstein space
- Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space
- Brownian particles controlled by their occupation measure
- Controlled superprocesses and HJB equation in the space of finite measures
- A measure-valued HJB perspective on Bayesian optimal adaptive control
- Special solutions to some Kolmogorov equations arising from cubic sensor problems
This page was built for publication: Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6157007)
