Hörmander's theorem for stochastic partial differential equations

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

Hörmander's type hypoellipticity theorem for stochastic partial differential equations is proved in the case where the coefficients are only measurable with respect to the time variable. Such equations arise, for instance, in filtering theory of partially observable diffusion processes. If one sets all coefficients of the stochastic part to be zero, one gets new results for usual parabolic PDEs.

Original languageEnglish (US)
Pages (from-to)461-479
Number of pages19
JournalSt. Petersburg Mathematical Journal
Volume27
Issue number3
DOIs
StatePublished - Jan 1 2016

Keywords

  • Hypoellipticity
  • Hörmander's theorem
  • Spdes

Fingerprint Dive into the research topics of 'Hörmander's theorem for stochastic partial differential equations'. Together they form a unique fingerprint.

Cite this