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Filtering and controal of stochastic differential equations with unbounded coefficients
Authors:Akira Ichikawa
Affiliation:Faculty of Engineering , Shizuoka University , Hamamatsu, 432, Japan
Abstract:We consider a stochastic evolution equation with unbounded control and noise operators which can describe parabolic equations with boundary or pointwise control and noise, Associated with this we take an observation process with unbounded operator which may correspond to boundary or pointwise observation. We examine all possible combinations of control, noise and observation. We first solve the filtering problem and then consider quadratic control problems
Keywords:
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