Kalman-Bucy filter and SPDEs with growing lower-order coefficients in W_p^1 spaces without weights

MaRDI QIDQ1928869zbMATH OpenFDO

Authors N. V. Krylov

Publication date 4 January 2013

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.0306, https://projecteuclid.org/euclid.ijm/1336049985

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11)

Abstract: We consider divergence form uniformly parabolic SPDEs with VMO bounded leading coefficients, bounded coefficients in the stochastic part, and possibly growing lower-order coefficients in the deterministic part. We look for solutions which are summable to the $p$th power, $pgeq2$, with respect to the usual Lebesgue measure along with their first-order derivatives with respect to the spatial variable. Our methods allow us to include Zakai's equation for the Kalman-Bucy filter into the general filtering theory.

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Cited in

(3)

• The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
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• On partially observed jump diffusions. III: Regularity of the filtering density

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