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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    Title :

    Smoothing of a diffusion process conditionned at final time


    Contributors:
    Pardoux, E. (author)


    Publication date :

    1982-01-01


    Size :

    10 pages





    Type of media :

    Article/Chapter (Book)


    Type of material :

    Electronic Resource


    Language :

    English




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