Un théorème d'unicité pour l'equation de zakaï

Abstract

We prove, under rather general conditions, that the conditional density in nonlinear filtering is the unique solutionwithin an appropriate space of processesof Zakai's equation. The main restriction is that all coefficients are supposed to be bounded

Keywords:

• Nonlinear filtering
• Zakai equation
• stochastic partial differential equation
• pseudo-differential operator