The partial malliavin calculus and its application to non-linear filtering
From MaRDI portal
Publication:3683284
DOI10.1080/17442508408833296zbMath0567.60046OpenAlexW2009634272MaRDI QIDQ3683284
Daniel W. Stroock, Shigeo Kusuoka
Publication date: 1984
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508408833296
filtering problemItô equationsMalliavin matrixHörmander type conditionsTheorems of smoothness and conditional smoothness
Signal detection and filtering (aspects of stochastic processes) (60G35) Sample path properties (60G17) Continuity and singularity of induced measures (60G30) Stochastic integral equations (60H20)
Related Items (32)
A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Stochastic calculus of variations for stochastic partial differential equations ⋮ Unnamed Item ⋮ On the Reference Probability Approach to the Equations of Non-Linear Filtering ⋮ Kusuoka-Stroock formula on configuration space and regularities of local times with jumps ⋮ On left-invariant Hörmander operators in \(\mathbb R^N\). Applications to Kolmogorov-Fokker-Planck equations ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ Conditional distributions, exchangeable particle systems, and stochastic partial differential equations ⋮ Gaussian K-scheme: justification for KLNV method ⋮ Regularite au bord pour les densites et les densites conditionnelles d'une diffusion reflechie hypoeiliptique ⋮ Extension of the ito calculus via the malliavin calculus ⋮ A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation ⋮ The Ito-Clifford integral ⋮ A high order time discretization of the solution of the non-linear filtering problem ⋮ AN APPLICATION OF THE PARTIAL MALLIAVIN CALCULUS TO BAOUENDI-GRUSHIN OPERATORS ⋮ Ergodic and mixing properties of the Boussinesq equations with a degenerate random forcing ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ An ODE's version of the formula of Baker, Campbell, Dynkin and Hausdorff and the construction of Lie groups with prescribed Lie algebra ⋮ White-noise approach to Malliavin's calculus ⋮ High order weak approximation for irregular functionals of time-inhomogeneous SDEs ⋮ A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus ⋮ The Poisson kernel for certain degenerate elliptic operators ⋮ A quenched local limit theorem for stochastic flows ⋮ A third-order weak approximation of multidimensional Itô stochastic differential equations ⋮ The existence of smooth densities for the prediction filtering and smoothing problems ⋮ Density estimates and short-time asymptotics for a hypoelliptic diffusion process ⋮ Differentiable measures and the Malliavin calculus ⋮ Malliavin calculus for two-parameter Wiener functionals ⋮ Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering ⋮ A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion ⋮ Hypoellipticity for filtering problems of partially observable diffusion processes ⋮ Generalized solutions of a stochastic partial differential equation
Cites Work
This page was built for publication: The partial malliavin calculus and its application to non-linear filtering
