Abstract Let (Xt, t∈[0,1]) be a diffusion process. Suppose we observe X0, X1, and (Yt, t∈[0,1]), where Yt is a noisy observation of (Xs, s∈[o,t]). We caracterise the conditional law of Xt (for t∈]0,1[), given these data, by means of a pair of stochastic PDEs.
Smoothing of a diffusion process conditionned at final time
1982-01-01
10 pages
Aufsatz/Kapitel (Buch)
Elektronische Ressource
Englisch
Reverse time smoothing for point process observations
Springer Verlag | 1986
|Spherical Diffusion for 3D Surface Smoothing
British Library Conference Proceedings | 2002
|Smoothing and Edge Detection by Time-Varying Coupled Nonlinear Diffusion Equations
British Library Online Contents | 2001
|Smoothing of optical flow using robustified diffusion kernels
British Library Online Contents | 2010
|