On SPDE and backward filtering equations for SDE systems (direct approach)
Probability
2016-07-13 v2
Abstract
A direct approach to linear backward filtering equations for SDE systems is proposed. This preprint is a corrected version of the paper 1995 in the LMS Lecture Notes combined with another paper by the author on the direct approach to linear SPDEs for SDEs.
Cite
@article{arxiv.1607.00333,
title = {On SPDE and backward filtering equations for SDE systems (direct approach)},
author = {Alexander Veretennikov},
journal= {arXiv preprint arXiv:1607.00333},
year = {2016}
}
Comments
15 pages, 10 references, the earlier version published in Stochastic Partial Differential Equations, ed. by A. Etheridge. London Math. Soc. Lecture Notes Series, CUP, vol. 216 (1995), 304-311