Support theorem; Nonlinear filtering; Stochastic differential equation
Résumé :
[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 :
Mathématiques
Auteur, co-auteur :
SCHILTZ, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Langue du document :
Anglais
Titre :
A support theorem for the filter under infinite dimensional noise and unbounded observation coefficient
