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.


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    Titel :

    Smoothing of a diffusion process conditionned at final time


    Beteiligte:
    Pardoux, E. (Autor:in)


    Erscheinungsdatum :

    1982-01-01


    Format / Umfang :

    10 pages





    Medientyp :

    Aufsatz/Kapitel (Buch)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch




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