The existence of smooth densities for the prediction filtering and smoothing problems

DOI10.1007/BF01307217zbMath0681.93065OpenAlexW1981193529MaRDI QIDQ1823912

Michael Kohlmann, Robert J. Elliott

Publication date: 1989

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01307217

zbMATH Keywords

predictionsmoothingMalliavin calculusfilteringdensity solutions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Stochastic Flows and Jump-Diffusions ⋮ Chaos expansion for the solutions of stochastic differential equations ⋮ Differentiable measures and the Malliavin calculus

Cites Work

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• The Malliavin calculus
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• Integration by parts, homogeneous chaos expansions and smooth densities
• The Malliavin calculus, a functional analytic approach
• Diffusions conditionnelles. I. Hypoellipticité partielle
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Flows of stochastic dynamical systems: The functional analytic approach
• The partial malliavin calculus and its application to non-linear filtering
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]

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