Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients

Details Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients

2009-08-13

arxiv.org/abs/0908.1935v1

Mathematics

Probability

25 pages

Scientific paper

We present several results on smoothness in $L_{p}$ sense of filtering
densities under the Lipschitz continuity assumption on the coefficients of a
partially observable diffusion processes. We obtain them by rewriting in
divergence form filtering equation which are usually considered in terms of
formally adjoint to operators in nondivergence form.

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