Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces

DOI10.1016/J.BULSCI.2021.103084MaRDI QIDQ2071441zbMATH OpenOpenAlexFDO

Authors Huijie Qiao

Publication date 28 January 2022

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.02079

zbMATH Keywords

Fokker-Planck equations on measure spacessuperposition principlesZakai equations

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: The work concerns the superposition between the Zakai equations and the Fokker-Planck equations on measure spaces. First, we prove a superposition principle for the Fokker-Planck equations on $m{R}^{m}N$ under the integrable condition. And then by means of it, we show two superposition principles for the weak solutions of the Zakai equations from the nonlinear filtering problems and the weak solutions of the Fokker-Planck equations on measure spaces. As a by-product, we give some weak conditions under which the Fokker-Planck equations can be solved in the weak sense.

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Cited in

(8)

• On the Ambrosio-Figalli-Trevisan superposition principle for probability solutions to Fokker-Planck-Kolmogorov equations
• Superposition principle for non-local Fokker-Planck-Kolmogorov operators
• On the superposition principle for Fokker-Planck-Kolmogorov equations
• A restricted superposition principle for (non-)linear Fokker-Planck-Kolmogorov equations on Hilbert spaces
• Superposition principle for the Fokker-Planck-Kolmogorov equations with unbounded coefficients
• Linearization and a superposition principle for deterministic and stochastic nonlinear Fokker-Planck-Kolmogorov equations
• Uniqueness and superposition of the space-distribution dependent Zakai equations
• Superpositions for general conditional Mckean-Vlasov stochastic differential equations

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