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Equations du filtrage non linéaire de la prediction et du lissage. (French) Zbl 0491.93062


MSC:

93E11 Filtering in stochastic control theory
62M20 Inference from stochastic processes and prediction
93E14 Data smoothing in stochastic control theory
60J60 Diffusion processes
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References:

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[15] Pardoux, E. Backward and forward stochastic partial differential equations associated with a non linear filtering problem. in Proc. IEEE 18th Conf on Dec and Cont.
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[20] Szpirglas, J. and Mazziotto, G. 1978 ‘.Modèle général de filtrage non linéaire et équations differéntielles stochastiques associées, Vol. 286, 1067–1070. C. R. Acad. Sciences Paris t. · Zbl 0376.60044
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