Malliavin calculus with time dependent coefficients and application to nonlinear filtering

DOI10.1007/BF01474642zbMath0677.60059MaRDI QIDQ1123483

Patrick Florchinger

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusnonlinear filteringHoermander condition

Mathematics Subject Classification ID

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

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

• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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]