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math.PR2020
Backward and forward filtering under the weak Hörmander condition
Andrea Pascucci, Antonello Pesce
We derive the forward and backward filtering equations for a class of degenerate partially observable diffusions, satisfying the weak Hörmander condition. Our approach is based on…
math.PR2020★ 19 cited
On the stochastic Magnus expansion and its application to SPDEs
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is…