Accession Number : ADA189865

Title :   The Existence of Smooth Densities for the Prediction Filtering and Smoothing Problems.

Descriptive Note : Rept. for 30 Sep 86-30 Sep 87,

Corporate Author : ALBERTA UNIV EDMONTON DEPT OF STATISTICS AND APPLIED PROBABILITY

Personal Author(s) : Elliott, Robert J

PDF Url : ADA189865

Report Date : Nov 1987

Pagination or Media Count : 28

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.

Descriptors :   *MATHEMATICAL FILTERS, *STOCHASTIC PROCESSES, CALCULUS, COEFFICIENTS, DENSITY, PREDICTIONS, SOLUTIONS(GENERAL), VECTOR ANALYSIS, MATHEMATICAL PREDICTION, INEQUALITIES, DIFFERENTIAL EQUATIONS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE