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Reduction of the Zakai equation by invariance group techniques

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  • de Lara, Michel Cohen

Abstract

A general procedure, inspired from that used for deterministic partial differential equations, is presented to reduce the Zakai stochastic Pde of filtering on n to a stochastic Pde on a lower-dimensional space m, with m

Suggested Citation

  • de Lara, Michel Cohen, 1998. "Reduction of the Zakai equation by invariance group techniques," Stochastic Processes and their Applications, Elsevier, vol. 73(1), pages 119-130, January.
    • Handle: RePEc:eee:spapps:v:73:y:1998:i:1:p:119-130
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    Cited by:

    1. Francesco C. De Vecchi & Elisa Mastrogiacomo & Mattia Turra & Stefania Ugolini, 2021. "Noether Theorem in Stochastic Optimal Control Problems via Contact Symmetries," Mathematics, MDPI, vol. 9(9), pages 1-34, April.
    2. Francesco C. De Vecchi & Elisa Mastrogiacomo & Mattia Turra & Stefania Ugolini, 2021. "Noether theorem in stochastic optimal control problems via contact symmetries," Papers 2102.03172, arXiv.org.

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