Publication:1107903

DOI10.1016/0022-1236(88)90015-8zbMATH Open0653.60046OpenAlexW1981477920MaRDI QIDQ1107903FDOQ1107903

Daniel L. Ocone

Publication date: 1988

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-1236(88)90015-8

zbMATH Keywords

Malliavin calculusGalerkin approximations[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDrmander%27s+hypoellipticity+theorem&go=Go H��rmander's hypoellipticity theorem]coercivity conditionZakai equation of nonlinear filtering

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• An introduction to the theory of large deviations
• Probability densities for conditional statistics in the cubic sensor problem
• Sur l'unicité retrograde des équations paraboliques et quelques questions voisines
• Stochastic partial differential equations and filtering of diffusion processes
• The Malliavin calculus, a functional analytic approach
• Derivatives of Wiener functionals and absolute continuity of induced measures
• The Malliavin calculus
• Controllability for Distributed Bilinear Systems
• Lectures on stochastic differential equations and Malliavin calculus
• The partial malliavin calculus and its application to non-linear filtering
• ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
• Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage
• Absolue continuité de probabilités de transition par rapport à une mesure gaussienne dans un espace de Hilbert. (Absolute continuity of transition probabilities with respect to a Gaussian measure in a Hilbert space)
• Generalized stochastic integrals and the Malliavin calculus
• Moments of Semilinear Random Evolutions
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Algebraic and Geometric Methods in Nonlinear Filtering
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Cited In (25)

• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
• Title not available (Why is that?)
• An extension of Hörmander's hypoellipticity theorem
• Stochastic variation of constants formula for infinite dimensional equations
• Estimation of the density of the solution of the robust Zakaï equation
• Generalized solution of some parabolic equations with a random drift
• Probability densities for conditional statistics in the cubic sensor problem
• Differentiable measures and the Malliavin calculus
• Smoothness of the functional law generated by a nonlinear SPDE
• A version of the Hörmander–Malliavin theorem in 2-smooth Banach spaces
• Malliavin calculus for highly degenerate 2D stochastic Navier-Stokes equations
• Title not available (Why is that?)
• Stochastic variational calculus for the uniform density measure
• Hypoellipticity in infinite dimensions and an application in interest rate theory
• Smoothness of Malliavin derivatives and dissipativity of solutions to two-dimensional micropolar fluid system
• Stochastic calculus of variations for jump processes
• A Stroock Varadhan support theorem in non-linear filtering theory
• Malliavin calculus and densities for singular stochastic partial differential equations
• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• Malliavin calculus for infinite-dimensional systems with additive noise
• Existence of densities for the dynamic \(\Phi^4_3\) model
• Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
• On Malliavin's proof of Hörmander's theorem
• Stochastic dynamics: A review of stochastic calculus of variations
• A self-dual variational approach to stochastic partial differential equations

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