Showing math.PRShow all
2 papers · 1 filter
math.PR2024
Uniqueness of the solution of the filtering equations in spaces of measures
Dan Crisan, Etienne Pardoux
Nonlinear filtering is a pivotal problem that has attracted significant attention from mathematicians, statisticians, engineers, and various other scientific disciplines. The solut…
math.PR2024
The identification of diffusions from imperfect observations
Dan Crisan, Martin Clark
This paper studies the identification of an -valued diffusion when a running function of it, say , is observed. A point-wise observation of the process (i…