Malliavin calculus with time dependent coefficients and application to nonlinear filtering
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Publication:1123483
DOI10.1007/BF01474642zbMath0677.60059MaRDI QIDQ1123483
Publication date: 1990
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (9)
SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES ⋮ Densities of one-dimensional backward SDEs ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Finite-dimensional filter for a class of nonlinear systems with correlated noises ⋮ Differentiable measures and the Malliavin calculus ⋮ Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering ⋮ Local Existence of Analytical Solutions to an Incompressible Lagrangian Stochastic Model in a Periodic Domain ⋮ Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations ⋮ Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise
Cites Work
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- Diffusions conditionnelles. I. Hypoellipticité partielle
- Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
- Hypoellipticity theorems and conditional laws
- Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés
- [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
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