Estimation of the density of the solution of the robust Zakaï equation (Q1904129)

The authors consider a class of stochastic partial differential equations arising in filtering theory, named Zakaï equation. They work in the uncorrelated case. They study the behaviour in small time of the solution of this equation, which is the unnormalized density of the filter. These estimations are proved under the weak Hörmander hypothesis and the assumption that the drift at the starting point is zero. The main tool is the Malliavin calculus and a Feynman-Kac formula associated with this problem. An asymptotic expansion over the diagonal of the density is proved where the coefficients are random, involving the observation. In the case where all the terms of the expansion are equal to zero, the authors establish a nonexponential estimation of the decay of the solution, with the help of a probabilistic analog of the Gevrey methods.