Malliavin calculus with time dependent coefficients and application to nonlinear filtering

DOI10.1007/BF01474642MaRDI QIDQ1123483zbMATH OpenFDO

Authors Patrick Florchinger

Publication date 1990

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

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)

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Cites work

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• Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Hypoellipticity theorems and conditional laws
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique

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
• scientific article; zbMATH DE number 4121150 (Why is no real title available?)
• scientific article; zbMATH DE number 4001997 (Why is no real title available?)
• 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
• Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise
• Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
• scientific article; zbMATH DE number 4050660 (Why is no real title available?)
• 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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