Kalman-Bucy filter and SPDEs with growing lower-order coefficients in $W^(1)_(p)$ spaces without weights

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• Krylov, N (Minnesota)
• Monday 14 June 2010, 11:20-12:10
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact Mustapha Amrani.

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We consider divergence form uniformly parabolic SPD Es 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

This talk is part of the Isaac Newton Institute Seminar Series series.

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