The partial malliavin calculus and its application to non-linear filtering
作者:
S. Kusuoka,
D. Stroock,
期刊:
Stochastics
(Taylor Available online 1984)
卷期:
Volume 12,
issue 2
页码: 83-142
ISSN:0090-9491
年代: 1984
DOI:10.1080/17442508408833296
出版商: Gordon and Breach Science Publishers Inc
数据来源: Taylor
摘要:
In this article, the Malliavin calculus is used to derive regularity properties of the conditional distribution of one ltd process given a second Ito process. The relation between the processes involved is the usual one assumed in the study of filtering theory. The non-degeneracy which we require is stated in terms of Malliavins covariance matrix in Theorem (3.15). More practical conditions are given in Lemma (3.19) for general Tto processes and in Lemma (3.29) for diffusions. Finally, in Theorem (4.6) a “localized” version of these results is given for diffusions.
点击下载:
PDF (1431KB)
返 回