Filtering and controal of stochastic differential equations with unbounded coefficients

1 January 1986

journal article
research article
Published by Taylor & Francis in Stochastic Analysis and Applications

Vol. 4 (2) , 187-212
https://doi.org/10.1080/07362998608809087

Abstract

We consider a stochastic evolution equation with unbounded control and noise operators which can describe parabolic equations with boundary or pointwise control and noise, Associated with this we take an observation process with unbounded operator which may correspond to boundary or pointwise observation. We examine all possible combinations of control, noise and observation. We first solve the filtering problem and then consider quadratic control problems

Keywords

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