Time dependent Malliavin calculus on manifolds and application to nonlinear filtering '

• Autorzy: Schiltz J.
• Języki publikacji: EN

Abstrakty

EN

In this paper, we prove, using Malliavin calculus, that under a global Hörmander condition the law of a Riemannian manifold valued stochastic process, a solution of a stochastic differential equation with time dependent coefficients, admits a C^∞-density with respect to the Riemannian volume element. This result is applied to a nonlinear filtering problem with time dependent coefficients on manifolds.

Słowa kluczowe

EN

Malliavin calculus; nonlinear filtering; stochastic calculus

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1998
• Tom: Vol. 18, Fasc. 2
• Strony: 319--334
• Opis fizyczny: Bibliogr. 19 poz.

Twórcy

autor

Schiltz J.

• U.R.A. C.N.R.S. No 399, Departement de Mathématiques, Université de Metz, BP 80794, F-57012 Metz Cedex, France

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