Backward and forward filtering under the weak Hörmander condition

DOI10.1007/S40072-021-00225-7MaRDI QIDQ6163564zbMATH OpenOpenAlexWikidataFDO

Authors Andrea Pascucci, Antonello Pesce

Publication date 26 June 2023

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.13325

zbMATH Keywords

filteringLangevin equationweak Hörmander conditionHölder theory of SPDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Subelliptic equations (35H20)

Abstract: We derive the forward and backward filtering equations for a class of degenerate partially observable diffusions, satisfying the weak H"ormander condition. Our approach is based on the H"older theory for degenerate SPDEs that allows to pursue the direct approaches proposed by N. V. Krylov and A. Zatezalo, and A. Yu. Veretennikov, avoiding the use of general results from filtering theory. As a by-product we also provide existence, regularity and estimates for the filtering density.

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Cited in

(3)

• Cauchy problem of stochastic kinetic equations
• Solution of the singular backward interpolation problem for diffusion processes
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