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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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