Applied Mathematics and Optimization, Vol.70, No.3, 395-409, 2014
Filtering for Non-Markovian SDEs Involving Nonlinear SPDEs and Backward Parabolic Equations
We study a filtering problem for non-Markovian SDE's where the drift vector fields commute with diffusion vector fields. The evolution of the conditioned mean value will be decribed using a backward parabolic equation with parameters.