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.

It is well known that the nonlinear filtering problem has important applications in both military and commercial industries. The central problem of nonlinear filtering is to solve the DMZ equation in real time and memoryless manner. The purpose of this paper is to show that, under very mild conditions (which essentially say that the growth of the observation |h| is greater than the growth of the drift |f|), the DMZ equation admits a unique nonnegative weak solution u which can be approximated by a solution u_R of the DMZ equation on the ball B_R with u_R|_BR = 0. The error of this approximation is bounded by a function of R which tends to zero as R goes to infinity. The solution u_R can in turn be approximated efficiently by an algorithm depending only on solving the observation-independent Kolmogorov equation on B_R. In theory, our algorithm can solve basically all engineering problems in real time manner. Specifically

The formation and propagation of thermal fronts in a cylindrical medium that is undergoing microwave heating is studied in detail. The model consists of Maxwell's wave equation coupled to a temperature diffusion equation containing a bistable nonlinear term.

We consider a family \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} of \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} -periodic Schrdinger operators with \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} -interactions supported on a lattice of closed compact surfaces; within a minimal period cell one has \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} surfaces. We show that in the limit when \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} and the interactions strengths are appropriately scaled, \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} has at most \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} gaps within finite intervals, and moreover, the limiting behavior of the first \{\mathcal {H}^arepsilon\} _ {arepsilon> 0} gaps can be completely controlled through a suitable choice of those surfaces and of the interactions strengths.

In this paper, we consider the local existence of solutions to Euler equations with linear damping under the assumption of physical vacuum boundary condition. By using the transformation introduced in Lin and Yang (Methods Appl. Anal. 7 (3) (2000) 495) to capture the singularity of the boundary, we prove a local existence theorem on a perturbation of a planar wave solution by using LittlewoodPaley theory and justifies the transformation introduced in Liu and Yang (2000) in a rigorous setting.