Monotonic limit properties for solutions of BSDEs with continuous coefficients.

Fan, Shengjun; Song, Xing; Ma, Ming

Displaying similar documents to “Monotonic limit properties for solutions of BSDEs with continuous coefficients.”

Note on a stochastic integral equation

Norihiko Kazamaki (1972)

Séminaire de probabilités de Strasbourg

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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.