The Existence of Smooth Densities for the Prediction Filtering and Smoothing Problems.
Abstract
Using a simple martingale representation result a conditional version of the Malliavin calculus is developed. Under Hormander's conditions on the coefficient vector fields the filtering, smoothing and prediction problems are shown to have C subscript infinity density solutions.
Document Details
- Document Type
- Technical Report
- Publication Date
- Nov 01, 1987
- Accession Number
- ADA189865
Entities
People
- Robert J. Elliott
Organizations
- University of Alberta