An existenc theorem for a stochastic partial differential equation arising from filtering theory (Q761697)

The Cauchy problem for the following stochastic partial differential equation \[ du(t,x)=u_{xx}(t,x)dt+h(x)u(t,x)dw_ t,\quad u(0,x)=u_ 0(x) \] where h is any polynomial of degree n and w is a real Wiener process, is investigated. The method consists in performing a transformation of the problem by \[ v(t,x)=\exp [-h(x)w(t)]u(t,x) \] to get a deterministic equation w.p. 1 with respect to v(t,x).