Homogenization problem for stochastic partial differential equations of Zakai type
Naoyuki Ichihara · Stochastics and stochastics reports · 2004
We discuss homogenization for stochastic partial differential equations (SPDEs) of Zakai type with periodic coefficients appearing typically in nonlinear filtering problems. We prove such homogenization by two different approaches. One is rather analytic and the other is comparatively probabilistic.