Existence of a smooth density for the filter in nonlinear filtering with infinite dimensional noise

DOI10.1016/0167-6911(91)90007-2zbMATH Open0732.93078OpenAlexW2045401175MaRDI QIDQ809974FDOQ809974

Authors: Patrick Florchinger 

Publication date: 1991

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(91)90007-2

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zbMATH Keywords

Malliavin calculusstochastic differential equationstochastic calculus of variationsnonlinear filtering problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

Cites Work

• Stochastic partial differential equations and diffusion processes
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• Stochastic partial differential equations and filtering of diffusion processes
• Stochastic calculus with anticipating integrands
• The Malliavin calculus
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• Lectures on stochastic differential equations and Malliavin calculus
• Hypoellipticity theorems and conditional laws
• Diffusions on an infinite dimensional torus
• Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage
• Generalized stochastic integrals and the Malliavin calculus
• Time reversal for infinite-dimensional diffusions
• Malliavin calculus with time dependent coefficients and application to nonlinear filtering
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Application of Malliavin calculus to a class of stochastic differential equations
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Cited In (9)

• Filtrage avec observation discontinuesur une variété. existence d'une densité régulière
• Title not available (Why is that?)
• Differentiable measures and the Malliavin calculus
• The existence of smooth densities for the prediction filtering and smoothing problems
• Non-linear smoothing of infinite-dimensional diffusion processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Malliavin calculus with time dependent coefficients and application to nonlinear filtering

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