Title: Stochastic partial differential equations and filtering of diffusion processes
Abstract: We establish basic results on existence and uniqueness for the solution of stochastic PDE's. We express the solution of a backward linear stochastic PDE in terms of the conditional law of a partially observed Markov diffusion process. It then follows that the adjoint forward stochastic PDE governs the evolution of the “unnormalized conditional density”
Publication Year: 1980
Publication Date: 1980-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 580
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