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Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique. (French) Zbl 0487.60053


MSC:

60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60G25 Prediction theory (aspects of stochastic processes)
60G35 Signal detection and filtering (aspects of stochastic processes)
93E11 Filtering in stochastic control theory
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[2] Krylov; Rozovskii, On conditional distributions of diffusion processes, Math. USSR-Izv., 12, No. 2, 336 (1978) · Zbl 0402.60077
[5] Malliavin, P., Stochastic calculus of variation and hypoelliptic operators, (Proceedings International Symposium on Stochastic Differential Equations. Proceedings International Symposium on Stochastic Differential Equations, Kyoto, 1976 (1978)), Tokyo · Zbl 0411.60060
[6] Malliavin, P., \(C^k\)-hypoellipticity with degeneracy, Parts 1, 2, (Friedman, A.; Pinsky, M., Stochastic Analysis (1978), Academic Press: Academic Press New York)
[7] Malliavin, P., Régularité de lois conditionnelles et calcul des variations stochastique, C. R. Acad. Sci. Ser. A, 289, 357 (1979) · Zbl 0417.60077
[8] Pardoux, E., Thèse (1975), Paris Sud-Orsay
[9] Stroock, D., The Malliavin calculus and its applications to second order parabolic equations (1979), preprint
[10] Pardoux, E., Stochastic partial differential equations and filtering of diffusion processes, Stochastics, 3, 127-167 (1979) · Zbl 0424.60067
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