ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
Nicolai V. Krylov, Boris L. Rozovskii · Mathematics of the USSR-Izvestiya · 1978
For a two-component diffusion process on the Euclidean space (), we consider the question of the existence of the density of the distribution , , with respect to Lebesgue measure, and we study its analytic properties. We also consider the question of the existence and uniqueness of the solution of the equation for (the filtering equation).Bibliography: 18 titles.