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Solution of certain parabolic equations with unbounded coefficients and its application to nonlinear filtering†

 

作者: Shuenn-Jyi Sheu,  

 

期刊: Stochastics  （Taylor Available online 1983）
卷期: Volume 10, issue 1  

页码: 31-46

 

ISSN:0090-9491

 

年代: 1983

 

DOI:10.1080/17442508308833261

 

出版商: Gordon and Breach Science Publishers Inc.

 

数据来源: Taylor

 

摘要:

A probabilistic representation for the solution of a parabolic partial differential equation with uniformly elliptic diffusion coefficients but unbounded drift is obtained and some growth estimates are calculated. These are applied to prove uniqueness of solutions of a certain class of nonlinear filtering equations

 

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