The approximation of stochastic partial differential equations and applications in nonlinear filtering
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Publication:923499
DOI10.1016/0898-1221(90)90081-TzbMath0711.60053MaRDI QIDQ923499
Publication date: 1990
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
perturbed Cauchy problem; perturbed stochastic evolution equation; unnormalized conditional density; Zakaî equation of the nonlinear filtering theory
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
Related Items
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations, Wong-Zakai approximations for stochastic differential equations
Cites Work
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- A Stroock Varadhan support theorem in non-linear filtering theory
- The stability of stochastic partial differential equations and applications i
- On the approximation of stochastic partial differential equations i
- On the approximation of stochastic partial differential equations II
- Stochastic partial differential equations and filtering of diffusion processes
- Une propriete de continuite en filtrage non lineaire