Non-linear smoothing of infinite-dimensional diffusion processes
作者:
J. D. Deuschel,
期刊:
Stochastics
(Taylor Available online 1986)
卷期:
Volume 19,
issue 4
页码: 237-261
ISSN:0090-9491
年代: 1986
DOI:10.1080/17442508608833427
出版商: Gordon and Breach Science Publishers, Inc
关键词: Non-linear smoothing;stochastic differential equation in infinite dimensions;Vasserstein metric
数据来源: Taylor
摘要:
In this paper we characterize the conditionallaw of the ith coordinate of an infinite-dimensional diffusion process with respect to the othersIf the interaction is given by a smooth gradient system of finite range, the conditional probability is determined in a robust form as the law of a stochastic differential equation with smooth and bounded drift and initial measure. Additionally the conditional law is shown to be Lipschitz continuous inwith respect to the Vasserstein metric on C[iX 1]
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