Time depending Malliavin calculus on manifolds and application to nonlinear filtering

Reference : Time depending Malliavin calculus on manifolds and application to nonlinear filtering


	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/5882

Title :	Time depending Malliavin calculus on manifolds and application to nonlinear filtering
Language :	English
Author, co-author :	Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Publication date :	1998
Journal title :	Probability and Mathematical Statistics
Publisher :	Kazimierz Urbanik Center for Probability and Mathematical Statistics
Volume :	18
Issue/season :	2
Pages :	319-334
Peer reviewed :	Yes
Audience :	International
ISSN :	0208-4147
Country :	Poland
Abstract :	[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.
Permalink :	http://hdl.handle.net/10993/5882

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