On conditional diffusion processes

DOI10.1017/S030821050002062XzbMATH Open0715.60097MaRDI QIDQ3201205FDOQ3201205

Authors: Terence J. Lyons, Weian Zheng 

Publication date: 1990

Published in: Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)

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zbMATH Keywords

diffusion processheat equationStratonovich integrationsecond-order uniformly elliptic operator

Mathematics Subject Classification ID

Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

Cites Work

• Title not available (Why is that?)
• Stochastic calculus for continuous additive functionals of zero energy
• Diffusion processes with non-smooth diffusion coefficients and their density functions

Cited In (33)

• The limits of stochastic integrals of differential forms
• Reconstructing the drift of a diffusion from partially observed transition probabilities
• Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
• Variation conditionelle des processus stochastiques. (Conditional variation of random processes)
• A closed form solution to one dimensional Robin boundary problems
• Doob's conditioned diffusions and their lifetimes
• Lower estimates of transition densities and bounds on exponential ergodicity for stochastic PDEs
• Stochastic analysis on extended sample space and a tightness result
• An efficient method to simulate diffusion bridges
• Brownian-time processes: The PDE connection and the half-derivative generator
• Stochastic modelling of air pollution impacts on respiratory infection risk
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic currents
• Title not available (Why is that?)
• Conditioned random walks and Lévy processes
• On Sharp Large Deviations for the Bridge of a General Diffusion
• Simulation of forward-reverse stochastic representations for conditional diffusions
• Conditioning diffusions with respect to incomplete observations
• A representation formula for transition probability densities of diffusions and applications
• LAMN property for multivariate inhomogeneous diffusions with discrete observations
• Simulation of conditioned diffusion and application to parameter estimation
• Conditioning two diffusion processes with respect to their first-encounter properties
• Diffusion processes with non-smooth diffusion coefficients and their density functions
• Sharp bounds for transition probability densities of a class of diffusions
• Cut points and diffusions in random environment
• On local linear approximations to diffusion processes
• Title not available (Why is that?)
• Filtering of diffusions controlled through their conditional measures^†
• Stochastic representation of diffusions corresponding to divergence form operators
• Gradient estimates and heat kernel estimates
• Quasi-invariance for the pinned Brownian motion on a Lie group.
• Diffusion processes on complete Riemannian manifolds

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