Kalman-Bucy filter and SPDEs with growing lower-order coefficients in W1p spaces without weights.

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• Krylov, N (University of Minnesota)
• Monday 14 June 2010, 09:50-10:40
• Seminar Room 1, Newton Institute.

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

Stochastic Partial Differential Equations (SPDEs)

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, p=2, 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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