Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
type: Item
instance of: scholarly article
title: Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
zbMATH Open document ID: 0937.60051
author: Guiseppe Da Prato
author: Marco Fuhrman
author: Paul Malliavin
published in: Journal of Functional Analysis
publication date: 2000-05-28T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 1309118
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: ergodicity
reviewed by: Jean Picard
MaRDI profile type: Publication
full work available at URL: jfan.1999.3399
OpenAlex ID: W2082531674
Wikidata QID: Q103685264
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DOI: 10.1006/JFAN.1999.3399
description: scientific article; zbMATH DE number 1309118