The existence of smooth densities for the prediction filtering and smoothing problems

DOI10.1007/BF01307217MaRDI QIDQ1823912zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Michael Kohlmann

Publication date 1989

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01307217

zbMATH Keywords

predictionMalliavin calculussmoothingfilteringdensity solutions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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• scientific article; zbMATH DE number 3986319 (Why is no real title available?)
• scientific article; zbMATH DE number 3778468 (Why is no real title available?)
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Flows of stochastic dynamical systems: The functional analytic approach
• Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
• Integration by parts, homogeneous chaos expansions and smooth densities
• 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
• The Malliavin calculus
• The Malliavin calculus, a functional analytic approach
• The partial malliavin calculus and its application to non-linear filtering

Cited in

(8)

• \(H_{\infty}\) inferential filtering, prediction and smoothing problems
• scientific article; zbMATH DE number 140590 (Why is no real title available?)
• A special semimartingale derivation of smoothing and prediction equations
• Stochastic Flows and Jump-Diffusions
• Chaos expansion for the solutions of stochastic differential equations
• Differentiable measures and the Malliavin calculus
• Hypoellipticity for filtering problems of partially observable diffusion processes
• scientific article; zbMATH DE number 5026194 (Why is no real title available?)

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