Despite its usefulness, the Kalman-Bucy filter is not perfect. One of its weaknesses is that it needs a Gaussian assumption on the initial data. Recently Yau and Yau introduced a new direct method to solve the estimation problem for linear filtering with non-Gaussian initial data. They factored the problem into two parts: (1) the on-line solution of a finite system of ordinary differential equations (ODEs), and (2) the off-line calculation of the Kolmogorov equation. Here we derive an explicit closed-form solution of the Kolmogorov equation. We also give some properties and conduct a numerical study of the solution.

In this paper, we provide existence and estimates of the equation du A v^du i= i

This work is intended as both an introductory text and a reference book for those interested in studying several complex variables in the context of partial differential equations. Significant progress has been made in the study of Cauchy-Riemann and tangential Cauchy-Riemann operators; this progress greatly influenced the development of PDEs and several complex variables.

This work is devoted to study the global behavior of viscous flows contained in a symmetric domain with complete slip boundary. In such scenario the boundary no longer provides friction and therefore the perturbation of angular velocity lacks decaying structure. In fact, we show the existence of uniformly rotating solutions as steady states for the compressible Navier-Stokes equations. By manipulating the conservation law of angular momentum, we establish a suitable Korn's type inequality to control the perturbation and show the asymptotic stability of the uniformly rotating solutions with small angular velocity. In particular, the initial perturbation which preserves the angular momentum would decay exponentially in time and the solution to the Navier-Stokes equations converges to the steady state as time grows up.

In this paper we establish the local-in-time existence and uniqueness of strong solutions to the free boundary problem of the full compressible Navier-Stokes equations in three-dimensional space. The vanishing density and temperature condition is imposed on the free boundary, which captures the motions of the non-isentropic viscous gas surrounded by vacuum with bounded entropy. We also assume some proper decay rates of the density towards the boundary and singularities of derivatives of the temperature across the boundary on the initial data, which coincides with the physical vacuum condition for the isentropic flows. This extends the previous result of Liu [arXiv: 1612.07936] by removing the spherically symmetric assumption and considering more general initial density and temperature profiles.