Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients
Nicolai V. Krylov · arXiv (Cornell University) · 2009
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.