Calvia, Alessandro; Ferrari, Giorgio: Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. In: . Jg.651. 2021, S. 26 ff.

Inhalt

1. Introduction

1.1. Methodology and main results
1.2. Notation

2. Model formulation
3. The Zakai and Kushner-Stratonovich equations
4. Uniqueness of the solution to the Zakai equation

4.1. The case in which nu has continuous paths
4.2. The case in which the jump times of nu do not accumulate

Appendix A. Techincal results
References

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