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.

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.

Let G=(V,E) be a locally finite connected weighted graph, and Δ be the usual graph Laplacian. In this article, we study blow-up problems for the nonlinear parabolic equation u_t = Δu + f(u) on G. The blow-up phenomenons for u_t = Δu + f(u) are discussed in terms of two cases: (i) an initial condition is given; (ii) a Dirichlet boundary condition is given. We prove that if f satisfies appropriate conditions, then the corresponding solutions will blow up in a finite time.