Title :
Existence of solutions to time dependent parabolic equations with unbounded coefficients: application to Duncan-Mortensen-Zakai equations
Author :
Shing-Tung Yau ; Yau, Stephen S T
Author_Institution :
Dept. of Math., Harvard Univ., Cambridge, MA, USA
Abstract :
We prove the existence of solutions to time dependent parabolic equations with unbounded coefficients which include Duncan-Mortensen-Zakai equations, a fundamental equation in nonlinear filtering theory as a special case
Keywords :
Brownian motion; filtering theory; matrix algebra; nonlinear filters; parabolic equations; partial differential equations; probability; Duncan-Mortensen-Zakai equations; nonlinear filtering theory; time dependent parabolic equations; unbounded coefficients; Computer science; Control theory; Ear; Electronic mail; Filtering theory; Mathematics; Nonlinear equations; Robustness; State estimation; Statistics;
Conference_Titel :
American Control Conference, 2000. Proceedings of the 2000
Conference_Location :
Chicago, IL
Print_ISBN :
0-7803-5519-9
DOI :
10.1109/ACC.2000.876608
