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Showing 1 to 2 of 2 for “"Backward Kolmogorov equation"”.
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The First Passage Problem in Random Vibration for a Simple Hysteretic Oscillator
… first is known as a generalized Pontriagin-Vitt equation, which when solved yields the ordinary moments of time of first passage as a function of the oscillator's initial displacement, initial velocity and initial hysteretic force. In the second formulation, an initial-boundary value problem …
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ADVANCES IN STOCHASTIC ANALYSIS ON SPACES OF MEASURES: KOLMOGOROV EQUATIONS RELATED TO STOCHASTIC FILTERING AND MEAN FIELD OPTIMAL STOPPING
… e allo studio di alcune equazioni di Kolmogorov retrograde su spazi di misure associate a problemi di filtraggio. I processi a valori in spazi di misure sorgono naturalmente nel contesto del filtraggio stocastico, dove si possono formulare due equazioni differenziali stocastiche, dette …