ESTIMATION OF THE DENSITY OF THE SOLUTION OF THE ROBUST ZAKAI EQUATION

Authors
Citation
R. Leandre et F. Russo, ESTIMATION OF THE DENSITY OF THE SOLUTION OF THE ROBUST ZAKAI EQUATION, Potential analysis, 4(5), 1995, pp. 521-545
Citations number
75
Categorie Soggetti
Mathematics, Pure",Mathematics
Journal title
ISSN journal
09262601
Volume
4
Issue
5
Year of publication
1995
Pages
521 - 545
Database
ISI
SICI code
0926-2601(1995)4:5<521:EOTDOT>2.0.ZU;2-Q
Abstract
We study the behaviour in small time of the density of the robust Zaka i equation under the weak Hormander's hypothesis. We avoid large devia tions phenomena by supposing that the drift at the departure is equal to zero. We get an asymptotic expansion over the diagonal of the densi ty where the observation is involved. In the case where all the terms of that asymptotic expansion are equal to zero, a pathology which is r elated to the Bismut's condition, we give an estimation of the decay b y using a probabilistic analogous of the Gevrey methods.