Article (Scientific journals)
Time depending Malliavin calculus on manifolds and application to nonlinear filtering
Schiltz, Jang
1998In Probability and Mathematical Statistics, 18 (2), p. 319-334
Peer reviewed
 

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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.
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 :
Time depending Malliavin calculus on manifolds and application to nonlinear filtering
Publication date :
1998
Journal title :
Probability and Mathematical Statistics
ISSN :
0208-4147
Publisher :
Kazimierz Urbanik Center for Probability and Mathematical Statistics, Poland
Volume :
18
Issue :
2
Pages :
319-334
Peer reviewed :
Peer reviewed
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since 12 September 2013

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