Solution of certain parabolic equations with unbounded coefficients and its application to nonlinear filtering
Shuenn‐Jyi Sheu · Stochastics · 1983
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