SPDEs in divergence form with VMO coefficients and filtering theory of partially observable diffusion processes with Lipschitz coefficients

Abstract

We present several results on the smoothness in $L_{p}$ sense of filtering densities under the Lipschitz continuity assumption on the coefficients of a partially observable diffusion processes. We obtain them by rewriting in divergence form filtering equation which are usually considered in terms of formally adjoint to operators in nondivergence form.