Optimal control and pathwise nonlinear filtering of nondegenerate diffusions

1 December 1981

conference paper
Published by Institute of Electrical and Electronics Engineers (IEEE)

p. 74-75
https://doi.org/10.1109/cdc.1981.269447

Abstract

A linear parabolic partial differential equation describing the pathwise filter for a nondegenerate diffusion is changed, by an exponential substitution, into the dynamic programming equation of an optimal stochastic control problem. This substitution is applied to obtain results about the rate of decay as |x| → ∞ of solutions p(x, t) to the pathwise filter equation, and for solutions of the corresponding Zakai equation.

Keywords

OPTIMAL CONTROL
FILTERING
FILTERS
POLYNOMIALS
PARTIAL DIFFERENTIAL EQUATIONS
DYNAMIC PROGRAMMING
STOCHASTIC PROCESSES
SIGNAL PROCESSING
NONLINEAR EQUATIONS
MATHEMATICS

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