Forward and Backward Equations for an Adjoint Process

Robert J. Elliott and Hailiang Yang

A chapter in Stochastic Processes, 1993, pp 61-69 from Springer

Abstract: Abstract A Markov chain is observed only through a noisy continuous observation process. A related optimal control problem is formulated in separated form by considering the related Zakai equation. An adjoint process is defined and shown to satisfy a forward stochastic partial differential equation, and also a system of backward parabolic equations.

Keywords: Markov Chain; Stochastic Partial Differential Equation; Separate Form; Fundamental Matrix Solution; Brownian Motion Process (search for similar items in EconPapers)
Date: 1993
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DOI: 10.1007/978-1-4615-7909-0_8

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