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

DOI10.1016/0167-6911(91)90007-2zbMath0732.93078OpenAlexW2045401175MaRDI QIDQ809974

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

zbMATH Keywords

stochastic differential equationMalliavin calculusstochastic calculus of variationsnonlinear filtering problem

Mathematics Subject Classification ID

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

Related Items

Differentiable measures and the Malliavin calculus

Cites Work

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