On singularity as a function of time of a conditional distribution of an exit time

DOI10.1007/s00440-015-0639-3zbMath1344.60077arXiv1306.3934MaRDI QIDQ737311

Nicolai V. Krylov

Publication date: 10 August 2016

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.3934

zbMATH Keywords

heat equation; stochastic partial differential equations; filtering; Brownian motions; partially observable diffusion process

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60J65: Brownian motion

60G35: Signal detection and filtering (aspects of stochastic processes)

60J60: Diffusion processes

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