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Filtering for systems modelled by variational inequalities associated with the one phase stochastic Stefan problem. (English) Zbl 0642.93058

According to the abstract: “The one phase stochastic Stefan problem with random disturbance is expressed by using the stochastic variational inequality. The key idea in studying the existence and uniqueness properties of the solution of a stochastic variational inequality is the introduction of the theory of non-linear stochastic differential equations. The filering equation under noisy observations is derived by applying the martingale representation technique. By using the finite difference approximation method, the derived non-linear filter equation is realized numerically and compared with simulation results.”
Reviewer: C.Wang

MSC:

93E11 Filtering in stochastic control theory
49J40 Variational inequalities
93C10 Nonlinear systems in control theory
35R35 Free boundary problems for PDEs
60G99 Stochastic processes
93E25 Computational methods in stochastic control (MSC2010)
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References:

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