Existence of solutions to time dependent parabolic equations with unbounded coefficients: application to Duncan-Mortensen-Zakai equations
Shing‐Tung Yau, Stephen S.‐T. Yau · 2000
We prove the existence of solutions to time dependent parabolic equations with unbounded coefficients which include Duncan-Mortensen-Zakai equations, a fundamental equation in nonlinear filtering theory as a special case.