Article (Scientific journals)
A support theorem for the filter under infinite dimensional noise and unbounded observation coefficient
Schiltz, Jang
1999In Applied Mathematics and Optimization, 39, p. 327-335
Peer reviewed
 

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Keywords :
Support theorem; Nonlinear filtering; Stochastic differential equation
Abstract :
[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.
Disciplines :
Mathematics
Author, co-author :
Schiltz, Jang ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Language :
English
Title :
A support theorem for the filter under infinite dimensional noise and unbounded observation coefficient
Publication date :
1999
Journal title :
Applied Mathematics and Optimization
ISSN :
0095-4616
Publisher :
Springer Science & Business Media B.V.
Volume :
39
Pages :
327-335
Peer reviewed :
Peer reviewed
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since 12 September 2013

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