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

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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.

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Acknowledgments

Marinescu’s research was supported by CNCS-UEFISCDI, Project No. IDEI 303, code PN-II-ID-PCE-2011-3-0593. The authors are expressing their gratitude to prof. C. Varsan for his continous advice and support.

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  1. Department of Applied Mathematics, The Bucharest University of Economics, Calea Dorobantilor 15-17, 0105724 , Bucharest, Romania

    Daniela Ijacu & Marinela Marinescu

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  1. Daniela Ijacu
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  2. Marinela Marinescu
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Correspondence to Daniela Ijacu.

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Ijacu, D., Marinescu, M. Filtering for Non-Markovian SDEs Involving Nonlinear SPDEs and Backward Parabolic Equations. Appl Math Optim 70, 395–409 (2014). https://doi.org/10.1007/s00245-014-9244-6

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  • DOI: https://doi.org/10.1007/s00245-014-9244-6

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