[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.
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 :
Time depending Malliavin calculus on manifolds and application to nonlinear filtering
Date de publication/diffusion :
1998
Titre du périodique :
Probability and Mathematical Statistics
ISSN :
0208-4147
Maison d'édition :
Kazimierz Urbanik Center for Probability and Mathematical Statistics, Pologne
