scientific article; zbMATH DE number 17378
[For the entire collection see Zbl 0722.00038.] Consider Zakai equation of the form \[ dy^ \varepsilon+A^ \varepsilon y^ \varepsilon dt=B^ \varepsilon(t,y^ \varepsilon)dw^ \varepsilon, y^ \varepsilon(0)=y_ 0, \tag{*} \] where \[ A^ \varepsilon=-\hbox{div}(a^ \varepsilon D\cdot)-\hbox{div}(a_ 0^ \varepsilon u), \] with assumptions (i) \(a^ \varepsilon\in L^ \infty(\mathbb{R}^ n;L(\mathbb{R}^ n;\mathbb{R}^ n))\); \(a^ \varepsilon\xi\xi\geq \alpha|\xi|^ 2\), \((a^ \varepsilon)^{-1}\xi\xi\geq \beta|\xi|^ 2\) with \(\alpha,\beta>0\), (ii) \(a_ 0^ \varepsilon(x)\in L^ \infty(\mathbb{R}^ n;\mathbb{R}^ n)\); \(\| a^ \varepsilon_ 0\|\leq c_ 0\), (iii) \(B^ \varepsilon(t,u)(x)=u(x)h^ \varepsilon(x,t)\) with \(h^ \varepsilon:\mathbb{R}^ n\times(0,T)\to\mathbb{R}^ n\), \(\| h^ \varepsilon\|\leq c_ 1\), (iv) there exist \(a\in L^ \infty(\mathbb{R}^ n\times(0,T)\); \(L(\mathbb{R}^ n;\mathbb{R}^ n))\), \(a_ 0\in L^ \infty(\mathbb{R}^ n\times(0,T);R^ n)\) with \(a\xi\xi\geq\alpha_ 1| \xi|^ 2\), \(\alpha_ 1>0\), such that if \(\gamma\) is large enough, \(\forall u\in W_ 0\) (where \(W_ 0\) is a Sobolev space with weights) the solution of \[ (A^ \varepsilon)^*u_ \varepsilon+\gamma u_ \varepsilon=A^*u+\gamma u \] verifies \(u_ \varepsilon\in W_ 0\) and \(u_ \varepsilon\to u\) in \(W_ 0\) weakly, where we have set \[ (A^ \varepsilon)^*=- \hbox{div}((a^ \varepsilon)^*D\cdot)+a^ \varepsilon_ 0D, \quad A^*=-\hbox{div}(a^*D\cdot)+a_ 0D, \] (v) moreover one has \(h^ \varepsilon\to h\) in \(L^ \infty(\mathbb{R}^ n\times(0,T);\mathbb{R}^ n)\) pointwise. We set \[ B(t,u)(x)=u(x)h(x,t). \tag{**} \] Furthermore, consider the equation \[ dy+Aydt=B(t,y)dw, \quad y(0)=y_ 0. \tag{***} \] A solution of (\(***\)) is a system \((\Omega,{\mathcal A},P,{\mathcal F}^ t,w(t),y(t))\) such that \(w\) is an \({\mathcal F}^ t\) standard Wiener process, \(y\in L^ 2_{\mathcal F}(0,T;V)\cap L^ 2(\Omega,{\mathcal A},P;C(0,T;H))\) and (\(**\)) is satisfied. We set \(S=C(0,T;\mathbb{R}^ n)\times L^ 2(0,T;H_ 0)\) and \(\pi^ \varepsilon\), \(\pi\) the probability measures on \(S\) associated to \((w^ \varepsilon(\cdot), y^ \varepsilon(\cdot))\) and \((w(\cdot), y(\cdot))\) solutions of (\(*\)), (\(***\)), respectively. Since \(y^ \varepsilon\) and \(y\) are uniquely defined, the probability measures \(\pi^ \varepsilon\) and \(\pi\) are also uniquely defined. The author proves the following main result: Assume (i)--(v) and \(y_ 0\in L^ 2\). Then \(\pi^ \varepsilon\to\pi\) in the sense of weak topology of probability measures on \(S\).
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