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تسجيل مستخدم جديدUniqueness and superposition of the distribution-dependent Zakai equations
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The work concerns the Zakai equations from nonlinear filtering problems of McKean-Vlasov stochastic differential equations with correlated noises. First, we establish the Kushner-Stratonovich equations, the Zakai equations and the distribution-dependent Zakai equations. And then, the pathwise uniqueness, uniqueness in joint law and uniqueness in law of weak solutions for the distribution-dependent Zakai equations are shown. Finally, we prove a superposition principle between the distribution-dependent Zakai equations and distribution-dependent Fokker-Planck equations. As a by-product, we give some conditions under which distribution-dependent Fokker-Planck equations have unique weak solutions.
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The work concerns the superposition between the Zakai equations and the Fokker-Planck equations on measure spaces. First, we prove a superposition principle for the Fokker-Planck equations on $mR^mN$ under the integrable condition. And then by means
of it, we show two superposition principles for the weak solutions of the Zakai equations from the nonlinear filtering problems and the weak solutions of the Fokker-Planck equations on measure spaces. As a by-product, we give some weak conditions under which the Fokker-Planck equations can be solved in the weak sense.
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