Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage

DOI10.1016/0022-1236(82)90023-4zbMath0475.60062OpenAlexW1983783728MaRDI QIDQ1159406

Jean-Michel Bismut, Dominique Michel

Publication date: 1982

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-1236(82)90023-4

zbMATH Keywords

hypoellipticitymartingale problemstochastic flowsHörmander's conditionsMalliavin calculus of variations

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic analysis (60Hxx)

Related Items (11)

Infinite-dimensional diffusion processes as Gibbs measures on \(C[0,1^{Z^ d}\)] ⋮ Estimation of the density of the solution of the robust Zakaï equation ⋮ Stochastic calculus of variations for stochastic partial differential equations ⋮ Occupation densities of stratonovitch stochastic differential equations with boundary conditions ⋮ AN APPLICATION OF THE PARTIAL MALLIAVIN CALCULUS TO BAOUENDI-GRUSHIN OPERATORS ⋮ The calculus of boundary processes ⋮ Absolue continuité de probabilités de transition par rapport à une mesure gaussienne dans un espace de Hilbert. (Absolute continuity of transition probabilities with respect to a Gaussian measure in a Hilbert space) ⋮ Filtrage non lineaire avec observation sur une variete ⋮ Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises ⋮ Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise ⋮ THE COHOMOLOGY OF STOCHASTIC AND RANDOM DIFFERENTIAL EQUATIONS, AND LOCAL LINEARIZATION OF STOCHASTIC FLOWS

Cites Work

• Robust filtering for correlated multidimensional observations
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Hypoelliptic second order differential equations
• On the integral representation of functionals of ltd processest
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• A generalized formula of Ito and some other properties of stochastic flows
• Équations du filtrage non linéaire de la prédiction et du lissage
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage