Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering (Q1295923): Difference between revisions
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| English | Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering |
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Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering (English)
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28 May 2000
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One considers an ergodic end hypoelliptic diffusion on a manifold, and one supposes that this diffusion is observed with an independent Gaussian noise. The aim of this work is to study the ergodic properties of the conditional law. One uses a robust resolution of the Zakai equation; another important tool is the Malliavin calculus which provides estimates on logarithmic derivatives of densities.
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nonlinear filtering
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ergodicity
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