Kusuoka-Stroock gradient bounds for the solution of the filtering equation
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Accepted version
Author(s)
Crisan, D
Litterer, C
Lyons, T
Type
Journal Article
Abstract
We obtain sharp gradient bounds for perturbed diffusion semigroups. In contrast with existing results, the perturbation is here random and the bounds obtained are pathwise. Our approach builds on the classical work of Kusuoka and Stroock [13,14,16,17], and extends their program developed for the heat semi-group to solutions of stochastic partial differential equations. The work is motivated by and applied to nonlinear filtering. The analysis allows us to derive pathwise gradient bounds for the un-normalised conditional distribution of a partially observed signal. It uses a pathwise representation of the perturbed semigroup following Ocone [22]. The estimates we derive have sharp small time asymptotics.
Date Issued
2015-01-12
Date Acceptance
2014-12-13
Citation
Journal of Functional Analysis, 2015, 268 (7), pp.1928-1971
ISSN
0022-1236
Publisher
Elsevier
Start Page
1928
End Page
1971
Journal / Book Title
Journal of Functional Analysis
Volume
268
Issue
7
Copyright Statement
© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Subjects
General Mathematics
0101 Pure Mathematics
Publication Status
Published