Publication:1295923

DOI10.1006/JFAN.1999.3399zbMATH Open0937.60051OpenAlexW2082531674WikidataQ103685264 ScholiaQ103685264MaRDI QIDQ1295923FDOQ1295923

Marco Fuhrman, Guiseppe Da Prato, Paul Malliavin

Publication date: 28 May 2000

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

Full work available at URL: https://doi.org/10.1006/jfan.1999.3399

zbMATH Keywords

ergodicitynonlinear filtering

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Filtering in stochastic control theory (93E11)

Cites Work

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• On the optimal filtering of diffusion processes
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Décroissance exponentielle du noyau de la chaleur sur la diagonale. I. (Exponential decay of the heat kernel over the diagonal. I)
• Renormalized differential geometry on path space: Structural equation, curvature
• The partial malliavin calculus and its application to non-linear filtering
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Diffusions on an infinite dimensional torus
• Exponential stability for nonlinear filtering
• Limit theorems for stochastic difference-differential equations
• Stochastic calculus of variations for stochastic partial differential equations
• Malliavin calculus with time dependent coefficients and application to nonlinear filtering
• The Malliavin calculus and its application to second order parabolic differential equations: Part II
• Approximations to solutions of the zakai filtering equation

Cited In (7)

• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• Stochastic calculus of variations on complex line bundle and construction of unitarizing measures for the Poincaré disk
• On the stability of positive semigroups
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

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