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Stochastic partial differential equations and filtering of diffusion processes

 

作者: E. Pardouxt,  

 

期刊: Stochastics  （Taylor Available online 1980）
卷期: Volume 3, issue 1-4  

页码: 127-167

 

ISSN:0090-9491

 

年代: 1980

 

DOI:10.1080/17442507908833142

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

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”

 

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