Kusuoka-Stroock gradient bounds for the solution of the filtering equation

DOI10.1016/j.jfa.2014.12.009zbMath1333.60147arXiv1311.0480OpenAlexW2963048448MaRDI QIDQ2261952

Christian Litterer, Dan Crisan, Terence J. Lyons

Publication date: 13 March 2015

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0480

zbMATH Keywords

stochastic partial differential equationgradient boundsfiltering equationrandomly perturbed semigroup

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

A converse to the neo-classical inequality with an application to the Mittag-Leffler function ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups

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