Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)

MaRDI QIDQ1077816zbMATH OpenFDO

Authors Patrick Cattiaux

Publication date 1986

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1986__22_1_67_0, https://eudml.org/doc/77270

zbMATH Keywords

diffusion degenerationfiltering problemsHörmander's type conditionsMalliavin calculusreflection conditions

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50) Inference from stochastic processes and prediction (62M20)

Review text

Malliavin calculus for diffusions with reflection conditions is considered. The local smoothness of the diffusion distribution in the domain is established under appropriate Hörmander's type conditions. The smoothness restriction on the boundary is established under some additional supposition of normal diffusion degeneration. Analogous results for filtering problems are obtained.

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