Filtering, Smoothing and Prediction of Degenerate Diffusion Processes. Backward Equations

B. L. Rozovskii

doi:10.1137/1128074

Filtering, Smoothing and Prediction of Degenerate Diffusion Processes. Backward Equations

Theory of Probability and Its Applications ◽

10.1137/1128074 ◽

1984 ◽

Vol 28 (4) ◽

pp. 762-774

Author(s):

B. L. Rozovskii

Keyword(s):

Diffusion Processes ◽

Degenerate Diffusion

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Degenerate diffusion processes in portfolio management

10.23919/acc.1982.4787904 ◽

1982 ◽

Author(s):

J. P. Lehoczky ◽

S. P. Sethi ◽

S. E. Shreve

Keyword(s):

Portfolio Management ◽

Diffusion Processes ◽

Degenerate Diffusion

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On stabilizability of some abstract degenerate diffusion processes

Optimization Techniques - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0036417 ◽

2006 ◽

pp. 385-393

Author(s):

Angelo Favini

Keyword(s):

Diffusion Processes ◽

Degenerate Diffusion

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Weak Poincaré inequalities for convergence rate of degenerate diffusion processes

The Annals of Probability ◽

10.1214/18-aop1328 ◽

2019 ◽

Vol 47 (5) ◽

pp. 2930-2952 ◽

Cited By ~ 1

Author(s):

Martin Grothaus ◽

Feng-Yu Wang

Keyword(s):

Convergence Rate ◽

Diffusion Processes ◽

Degenerate Diffusion ◽

Poincaré Inequalities ◽

Poincare Inequalities

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Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies

Electronic Journal of Probability ◽

10.1214/ejp.v4-39 ◽

1999 ◽

Vol 4 (0) ◽

Cited By ~ 11

Author(s):

N. Krylov

Keyword(s):

Diffusion Processes ◽

Degenerate Diffusion ◽

Value Functions

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Diagonal estimates of transition probability densities of certain degenerate diffusion processes

Journal of Functional Analysis ◽

10.1016/0022-1236(90)90141-7 ◽

1990 ◽

Vol 91 (2) ◽

pp. 221-236 ◽

Cited By ~ 3

Author(s):

Satoshi Takanobu

Keyword(s):

Diffusion Processes ◽

Transition Probability ◽

Degenerate Diffusion ◽

Probability Densities

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A Note on Degenerate Diffusion Processes

Theory of Probability and Its Applications ◽

10.1137/1114064 ◽

1969 ◽

Vol 14 (3) ◽

pp. 502-506 ◽

Cited By ~ 6

Author(s):

M. Pinsky

Keyword(s):

Diffusion Processes ◽

Degenerate Diffusion

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On a Property of Non-Degenerate Diffusion Processes

Theory of Probability and Its Applications ◽

10.1137/1104032 ◽

1959 ◽

Vol 4 (3) ◽

pp. 329-333 ◽

Cited By ~ 1

Author(s):

I. V. Girsanov

Keyword(s):

Diffusion Processes ◽

Degenerate Diffusion

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On the Interior Smoothness of Harmonic Functions for Degenerate Diffusion Processes

Stochastic Analysis ◽

10.1016/b978-0-12-481005-1.50021-1 ◽

1991 ◽

pp. 297-310 ◽

Cited By ~ 1

Author(s):

N.V. Krylov

Keyword(s):

Harmonic Functions ◽

Diffusion Processes ◽

Degenerate Diffusion

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Quasiderivatives and Interior Smoothness of Harmonic Functions Associated with Degenerate Diffusion Processes

Electronic Journal of Probability ◽

10.1214/ejp.v9-219 ◽

2004 ◽

Vol 9 (0) ◽

pp. 615-633 ◽

Cited By ~ 2

Author(s):

N.V. Krylov

Keyword(s):

Harmonic Functions ◽

Diffusion Processes ◽

Degenerate Diffusion

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Degenerate Diffusion Processes

Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems - Communications and Control Engineering ◽

10.1007/978-3-030-41846-5_4 ◽

2020 ◽

pp. 201-246

Author(s):

Xi-Ren Cao

Keyword(s):

Diffusion Processes ◽

Degenerate Diffusion

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