Stochastic partial differential equations and diffusion processes

DOI10.1070/RM1982V037N06ABEH004022MaRDI QIDQ3667716zbMATH OpenOpenAlexFDO

Authors N. V. Krylov, B. Rozovskii

Publication date 1982

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm1982v037n06abeh004022

zbMATH Keywords

filter equationLiouville equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Filtering in stochastic control theory (93E11)

Cited in

(19)

• On the convergence of partial differential equations of parabolic type with rapidly oscillating coefficients to stochastic partial differential equations
• A class of semilinear stochastic partial differential equations and their controls: Existence results
• Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises
• Generalized solutions of a stochastic partial differential equation
• Stochastic steady-state Navier-Stokes equations with additive random noise
• The generalized Itô-Venttsel' formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral
• Localization errors in solving stochastic partial differential equations in the whole space
• Some Results of Backward Itô Formula
• Un théorème d'unicité pour l'equation de zakaï
• Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type
• Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani
• Some remarks about backward itô formula and applications
• L^p-estimates for stochastic pdes with discontinuous coefficients
• Approximations to solutions of the zakai filtering equation
• Stochastic partial differential equations with singular terminal condition
• SPDEs with coloured noise: Analytic and stochastic approaches
• A computational framework for the administration of 5-aminolevulinic acid before glioblastoma surgery
• On stochastic partial differential equations and their applications to derivative pricing through a conditional Feynman-Kac formula
• Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise

This page was built for publication: Stochastic partial differential equations and diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3667716)