Backward and forward filtering under the weak H\"ormander condition

Andrea Pascucci; Antonello Pesce

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arXiv · 2006.13325

Backward and forward filtering under the weak H\"ormander condition

Andrea Pascucci·Antonello Pesce

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Abstract

We derive the forward and backward filtering equations for a class of degenerate partially observable diffusions, satisfying the weak H\"ormander condition. Our approach is based on the H\"older theory for degenerate SPDEs that allows to pursue the direct approaches proposed by N. V. Krylov and A. Zatezalo, and A. Yu. Veretennikov, avoiding the use of general results from filtering theory. As a by-product we also provide existence, regularity and estimates for the filtering density.

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Andrea Pascucci, Antonello Pesce. 2020-06-23. Backward and forward filtering under the weak H\"ormander condition. https://arxiv.org/abs/2006.13325

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