scientific article; zbMATH DE number 4001997

zbMATH Open0617.93056MaRDI QIDQ3754527FDOQ3754527

Authors: Daniel L. Ocone 

Publication date: 1986

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zbMATH Keywords

Malliavin calculusnonlinear filteringestimation algebraunnormalized conditional density

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

Cited In (9)

• Wiener chaos and nonlinear filtering
• Factorization algorithms and non‐stationary wiener filtering
• Probability densities for conditional statistics in the cubic sensor problem
• Malliavin calculus applications to the study of nonlinear filtering
• Differentiable measures and the Malliavin calculus
• The partial malliavin calculus and its application to non-linear filtering
• An analysis of the effects of spectral uncertainty on Wiener filtering
• Stochastic calculus of variations for stochastic partial differential equations
• Time dependent Malliavin calculus on manifolds and application to nonlinear filtering

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