Malliavin calculus with time dependent coefficients and application to nonlinear filtering

DOI10.1007/BF01474642zbMATH Open0677.60059MaRDI QIDQ1123483FDOQ1123483

Authors: Patrick Florchinger 

Publication date: 1990

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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zbMATH Keywords

Malliavin calculusnonlinear filteringHoermander condition

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Hypoellipticity theorems and conditional laws
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• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés

Cited In (16)

• Finite-dimensional filter for a class of nonlinear systems with correlated noises
• Malliavin calculus applications to the study of nonlinear filtering
• Differentiable measures and the Malliavin calculus
• Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• The partial malliavin calculus and its application to non-linear filtering
• Densities of one-dimensional backward SDEs
• Malliavin calculus with time dependent coefficients applied to a class of stochastic differential equations
• Title not available (Why is that?)
• Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
• Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise
• Local existence of analytical solutions to an incompressible Lagrangian stochastic model in a periodic domain
• Time dependent Malliavin calculus on manifolds and application to nonlinear filtering
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
• Applications of Malliavin's calculus to time-dependent systems of heat equations

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