Non-linear smoothing of infinite-dimensional diffusion processes
- 1 December 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 19 (4) , 237-261
- https://doi.org/10.1080/17442508608833427
Abstract
In this paper we characterize the conditional law of the ith coordinate of an infinite-dimensional diffusion process with respect to the others If the interaction is given by a smooth gradient system of finite range, the conditional probability is determined in a robust form as the law of a stochastic differential equation with smooth and bounded drift and initial measure. Additionally the conditional law is shown to be Lipschitz continuous in with respect to the Vasserstein metric on C[iX 1]Keywords
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