Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
One considers an ergodic end hypoelliptic diffusion on a manifold, and one supposes that this diffusion is observed with an independent Gaussian noise. The aim of this work is to study the ergodic properties of the conditional law. One uses a robust resolution of the Zakai equation; another important tool is the Malliavin calculus which provides estimates on logarithmic derivatives of densities.
scientific article; zbMATH DE number 1309118
scientific article