Hypoellipticity for filtering problems of partially observable diffusion processes

DOI10.1007/s00440-014-0557-9zbMath1317.60098arXiv1309.5545OpenAlexW2027417344MaRDI QIDQ2343029

Nicolai V. Krylov

Publication date: 4 May 2015

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.5545

zbMATH Keywords

filteringhypoellipticitystochastic PDEspartially observable diffusion processes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (3)

The parametrix method for parabolic SPDEs ⋮ Hörmander’s theorem for stochastic partial differential equations ⋮ Space regularity for evolution operators modeled on Hörmander vector fields with time dependent measurable coefficients

Cites Work

• Diffusions conditionnelles. I. Hypoellipticité partielle
• Densities of a measure-valued process governed by a stochastic partial differential equation
• Hypoelliptic non-homogeneous diffusions
• Hörmander’s theorem for stochastic partial differential equations
• Hypoellipticity theorems and conditional laws
• The partial malliavin calculus and its application to non-linear filtering
• Stochastic evolution equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Hypoellipticity for filtering problems of partially observable diffusion processes