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

DOI10.1007/s00440-015-0639-3zbMath1344.60077arXiv1306.3934OpenAlexW1774863144MaRDI 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 equationstochastic partial differential equationsfilteringBrownian motionspartially observable diffusion process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Unnamed Item
• Filtering partially observable diffusions up to the exit time from a domain
• On the Itô--Wentzell formula for distribution-valued processes and related topics
• On more square root law for Brownian motion and its application to SPDEs
• Brownian Trajectory Is a Regular Lateral Boundary for the Heat Equation
• Stochastic evolution equations

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