Reference : Time depending Malliavin calculus on manifolds and application to nonlinear filtering
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/5882
Time depending Malliavin calculus on manifolds and application to nonlinear filtering
English
Schiltz, Jang mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
1998
Probability and Mathematical Statistics
Kazimierz Urbanik Center for Probability and Mathematical Statistics
18
2
319-334
Yes
International
0208-4147
Poland
[en] In this paper, we prove, using Malliavin calculus, that
under a global Hormander condition the law of a Riemannian manifold
valued stochastic process, a solution of a stochastic differential
equation with time dependent coefficients, admits a smooth density with
respect to the Riemannian volume element. This result is applied to
a nonlinear filtering problem with time dependent coefficients on
manifolds.
http://hdl.handle.net/10993/5882

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