| Abstract: | Two filtering problems for Brownian motions with absorbing and reflecting barriers are examined and shown to reduce to two classical boundary value problems (BVPs). It turns out that the solution of the first one is basically the same as those obtained by Bene
2] for the ‘3-dimensional’ Bessel process. The presence,of a reflecting barrier manifests itself via an appropriate boundary. condition and some additional term in the PDE. Two different formulas solving the second BVP are obtained. |
