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Contents of PMS, Vol. 18, Fasc. 2,
pages 319 - 334
 

TIME DEPENDENT MALLIAVIN CALCULUS ON MANIFOLDS AND APPLICATION TO NONLINEAR FILTERING

Jang Schiltz

Abstract: In this paper, we prove, using Malliavin calculus, that under a global Hörmander condition the law of a Riemannian manifold valued stochastic process, a solution of a stochastic differential equation with time dependent coefficients, admits a C oo -density with respect to the Riemannian volume element. This result is applied to a nonlinear filtering problem with time dependent coefficients on manifolds.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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