Note on a stochastic integral equation
Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Monotonic limit properties for solutions of BSDEs with continuous coefficients.”
Note on a stochastic integral equation
A simple proof of the support theorem for diffusion processes
Annie Millet, Marta Sanz-Solé (1994)
Séminaire de probabilités de Strasbourg
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Approximation of the Zakai equation in a nonlinear filtering problem with delay
Krystyna Twardowska, Tomasz Marnik, Monika Pasławska-Południak (2003)
International Journal of Applied Mathematics and Computer Science
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A nonlinear filtering problem with delays in the state and observation equations is considered. The unnormalized conditional probability density of the filtered diffusion process satisfies the so-called Zakai equation and solves the nonlinear filtering problem. We examine the solution of the Zakai equation using an approximation result. Our theoretical deliberations are illustrated by a numerical example.
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Martin T. Barlow, Edwin A. Perkins (1990)
Séminaire de probabilités de Strasbourg
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Donsker-type theorem for BSDEs.
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Electronic Communications in Probability [electronic only]
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Séminaire de probabilités de Strasbourg
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Asymptotic Properties of Stochastic Semilinear Equations by the Method of Lower Measures
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Colloquium Mathematicae
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Dorogovtsev, Andrej A. (1995)
Journal of Applied Mathematics and Stochastic Analysis
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Introduction to the Theory of the It-type Stochastic Integrals and Stochastic Differential Equations
Svetlana Janković (1998)
Zbornik Radova
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Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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