scientific article; zbMATH DE number 4153616

MaRDI QIDQ3482653zbMATH OpenFDO

Authors Etienne Pardoux, Daniel L. Ocone

Publication date 1989

zbMATH Keywords

Malliavin calculusLie algebrasnonlinear filtering problemlinear stochastic partial differential equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35)

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(7)

• The weyl algebra and finite dimensional filtering
• Nonexistence of finite-dimensional filters for conditional statistics of the cubic sensor problem
• Probability densities for conditional statistics in the cubic sensor problem
• Differentiable measures and the Malliavin calculus
• Piecewise linear filtering with small observation noise
• Des resultats de non existence de filtre de dimension finie
• Reduction of the Zakai equation by invariance group techniques

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