Kolmogorov equations on spaces of measures associated to nonlinear filtering processes (Q6157007)

The main aim of this paper is to study the backward Kolmogorov equations of parabolic type associated to measure-valued processes arising in the context of stochastic filtering (Zakai and Kushner-Stratonovich equation). The principal result deals with the existence and uniqueness of classical solutions to these partial differential equations, although other intermediate results are of independent interest. The author's approach differs from this since he does not assume the existence of a density and he works directly in the context of measures. The author first formulates two Kolmogorov equations on spaces of measures, and then he proves the existence and uniqueness of classical solutions.