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20192026
most citedKolmogorov equations on spaces of measures associated to nonlinear filtering processes

9 citations · 22 across the 7 of their papers we have counts for

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2 papers · 1 filter

math.PR2022★ 4 cited

Time-inconsistent mean-field optimal stopping: A limit approach

Boualem Djehiche, Mattia Martini

We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Browni…

math.PR2022

Kolmogorov equations on the space of probability measures associated to the nonlinear filtering equation: the viscosity approach

Mattia Martini

We study the backward Kolmogorov equation on the space of probability measures associated to the Kushner-Stratonovich equation of nonlinear filtering. We prove existence and unique…