
arXiv: 1309.5543
We prove H��rmander's type hypoellipticity theorem for stochastic partial differential equations when the coefficients are only measurable with respect to the time variable. The need for such kind of results comes from filtering theory of partially observable diffusion processes, when even if the initial system is autonomous, the observation process enters the coefficients of the filtering equation and makes them time-dependent with no good control on the smoothness of the coefficients with respect to the time variable.
23 pages, localization on random events added
Hypoelliptic equations, Probability (math.PR), hypoellipticity, SPDEs, 60H15, 35R60, Mathematics - Analysis of PDEs, Stochastic partial differential equations (aspects of stochastic analysis), Hörmander's theorem, FOS: Mathematics, PDEs with randomness, stochastic partial differential equations, Mathematics - Probability, Analysis of PDEs (math.AP)
Hypoelliptic equations, Probability (math.PR), hypoellipticity, SPDEs, 60H15, 35R60, Mathematics - Analysis of PDEs, Stochastic partial differential equations (aspects of stochastic analysis), Hörmander's theorem, FOS: Mathematics, PDEs with randomness, stochastic partial differential equations, Mathematics - Probability, Analysis of PDEs (math.AP)
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