Non-linear smoothing of infinite-dimensional diffusion processes
Publication:3747427
DOI10.1080/17442508608833427zbMath0608.60044OpenAlexW1981584161MaRDI QIDQ3747427
Publication date: 1986
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508608833427
Girsanov transformationinfinite dimensional diffusion processconditional lawBismut's version of Malliavin's calculussmooth gradient systemVasserstein metric
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (6)
Cites Work
- Unnamed Item
- Unnamed Item
- A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
- Stationary measures of stochastic gradient systems, infinite lattice models
- Équations du filtrage non linéaire de la prédiction et du lissage
- Canonical and microcanonical Gibbs states
- Prescribing a System of Random Variables by Conditional Distributions
This page was built for publication: Non-linear smoothing of infinite-dimensional diffusion processes