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

DOI10.1007/BF01307217zbMATH Open0681.93065OpenAlexW1981193529MaRDI QIDQ1823912FDOQ1823912

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

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zbMATH Keywords

predictionMalliavin calculussmoothingfilteringdensity solutions

Mathematics Subject Classification ID

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

Cites Work

• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• 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
• Title not available (Why is that?)
• The Malliavin calculus, a functional analytic approach
• The Malliavin calculus
• Title not available (Why is that?)
• The partial malliavin calculus and its application to non-linear filtering
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Title not available (Why is that?)
• Flows of stochastic dynamical systems: The functional analytic approach
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique

Cited In (8)

• \(H_{\infty}\) inferential filtering, prediction and smoothing problems
• Title not available (Why is that?)
• Stochastic Flows and Jump-Diffusions
• A special semimartingale derivation of smoothing and prediction equations
• Chaos expansion for the solutions of stochastic differential equations
• Differentiable measures and the Malliavin calculus
• Hypoellipticity for filtering problems of partially observable diffusion processes
• Title not available (Why is that?)

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