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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Kalman-Bucy filter and SPDEs with growing lower-or
der coefficients in $W^(1)_(p)$ spaces without wei
ghts - Krylov\, N (Minnesota)
DTSTART;TZID=Europe/London:20100614T112000
DTEND;TZID=Europe/London:20100614T121000
UID:TALK25216AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/25216
DESCRIPTION:We consider divergence form uniformly parabolic SP
DEs with VMO bounded leading coefficients\, bounde
d coefficients in the stochastic part\, and possib
ly growing lower-order coefficients in the determi
nistic part. We look for solutions which are summa
ble to the $p$th power\, $pgeq2$\, with respect to
the usual Lebesgue measure along with their first
-order derivatives with respect to the spatial var
iable. Our methods allow us to include Zakai's equ
ation for the Kalman-Bucy filter into the general
filtering theory
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
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