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Filtering for Non-Markovian SDEs Involving Nonlinear SPDEs and Backward Parabolic Equations

Filtering for Non-Markovian SDEs Involving Nonlinear SPDEs and Backward Parabolic Equations We study a filtering problem for non-Markovian SDE’s where the drift vector fields commute with diffusion vector fields. The evolution of the conditioned mean value will be decribed using a backward parabolic equation with parameters. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Filtering for Non-Markovian SDEs Involving Nonlinear SPDEs and Backward Parabolic Equations

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References (13)

Publisher
Springer Journals
Copyright
Copyright © 2014 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-014-9244-6
Publisher site
See Article on Publisher Site

Abstract

We study a filtering problem for non-Markovian SDE’s where the drift vector fields commute with diffusion vector fields. The evolution of the conditioned mean value will be decribed using a backward parabolic equation with parameters.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Dec 1, 2014

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