Reference : A support theorem for the filter under infinite dimensional noise and unbounded obser...
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/5834
A support theorem for the filter under infinite dimensional noise and unbounded observation coefficient
English
Schiltz, Jang mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
1999
Applied Mathematics & Optimization
Springer Science & Business Media B.V.
39
327-335
Yes (verified by ORBilu)
International
0095-4616
[en] Support theorem ; Nonlinear filtering ; Stochastic differential equation
[en] In this paper we consider a nonlinear filtering problem with an unbounded
observation coefficient, correlated noises, and a signal process driven by
an infinite dimensional Brownian motion. We prove that the unnormalized filter
admits a smooth density which is in the Schwartz space and we give a description
of the support of the law of this density.
http://hdl.handle.net/10993/5834

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