Existence and uniqueness of solutions for Duncan-Mortensen-Zakai equations

Shing-Tung Yau SS-T Yau

Analysis of PDEs mathscidoc:1912.43666

536-541, 2005.12
In this paper, we give a priori estimation of derivatives of solution of Duncan-Mortensen-Zakai (DMZ) equation up to 2nd order. We also prove the existence and uniqueness of weak solution for DMZ equation, which is a fundamental equation in nonlinear filtering.
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@inproceedings{shing-tung2005existence,
  title={Existence and uniqueness of solutions for Duncan-Mortensen-Zakai equations},
  author={Shing-Tung Yau, and SS-T Yau},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191224204829893688230},
  pages={536-541},
  year={2005},
}
Shing-Tung Yau, and SS-T Yau. Existence and uniqueness of solutions for Duncan-Mortensen-Zakai equations. 2005. pp.536-541. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191224204829893688230.
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