The existence of smooth densities for the prediction filtering and smoothing problems

DOI10.1007/BF01307217zbMath0681.93065MaRDI QIDQ1823912

Michael Kohlmann, Robert J. Elliott

Publication date: 1989

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01307217

zbMATH Keywords

prediction; smoothing; Malliavin calculus; filtering; density solutions

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Stochastic Flows and Jump-Diffusions, Chaos expansion for the solutions of stochastic differential equations, Differentiable measures and the Malliavin calculus

Cites Work

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