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# The mid-infrared AC Hall effect in optimally-doped Bi2Sr2CaCu2O8+δ

(November 21, 2002)

## Abstract

A novel heterodyne polarometry system determines the frequency dependence from 900 to 1100 cm$`{}_{}{}^{}1`$ and temperature dependence from 35 to 330 K of the Hall transport in single crystal, optimally doped Bi2Sr2CaCu2O8+δ. The results show a significant disconnect from the behavior of the Hall angle in the existing data for YBCO in the far-infrared, which indicate a negative value for the real part of the Hall angle above 250 cm-1, whereas that of the current work at 1000 cm-1 is positive. The current work when analyzed using an extended Drude formalism results in a Hall mass comparable to the ARPES Fermi mass and a scattering rate comparable to the low frequency conductivity and Hall effect scattering rates, which, however, are only 1/4 of the minimum ARPES values.

While the DC and infrared conductivities reveal the overall response of a system to an electric field, the Hall effect reveals the sign of the carriers as well as some information as to the path taken by them. It essentially probes the ability of the carriers to veer or bend their course. Quantities frequently used to represent the effect are the Hall angle $`\theta _\text{H}`$ or the longitudinal and transverse conductivities $`\sigma _{xx}`$ and $`\sigma _{xy}`$ with

$$\mathrm{tan}\theta _\text{H}=\frac{\sigma _{xy}}{\sigma _{xx}}$$
(1)
These quantites become complex response functions for AC fields. The collection of existing measurements of the DC and AC Hall effect in high temperature superconductors has revealed a most curious behavior, whose description defies all current models, while, however, apparently falling short of suggesting a comprehensive theortical approach on its own. Some of the difficulty of identifying patterns which can be simply expressed by means of some phenmenology arises from the fact that one is hesitant to make direct comparisons between the the existing AC Hall measurements conducted on epitaxial films of YBCO with thoses of results of ARPES and STM on single crystal BSCCO. The YBCO films are twinned on a micron scale and the conductivity is further complicated by the existance of CuO2 chains. The mid-infrared Hall measurments reported here are the first on BSCCO single crystal and should cover some of the distance in remedying this predicament.

To appreciate the present state of the search for patterns and phenomenology consider the first of the earlier work Ong et al. (1987); Chien et al. (1991); Harris et al. (1992), which to an extent indicated that $`\mathrm{cot}\theta _H`$ followed squared temperature behavior:

$$\mathrm{cot}\theta _\text{H}=A+BT^2$$
(2)
with $`A`$ proportional to Zn doping. The Tn behavior, for n=2, supported two $`\tau `$ models such as those associated with spin-charge separation in the cuprates Anderson (1991). However, later systematic studies of both single layer Bi2Sr1.6La0.4CuOy and bilayer Bi2Sr2CaCuy Konstantinovic et al. (2000) have revealed that n = 1.78 for optimal doping and n clearly depends on oxygen doping, approaching n = 2 only in the underdoped regime. The far-infrared extension of the Hall effect explored in YBCO Kaplan et al. (1996); Grayson et al. (2002) suggests a different phenomenology involving a squared Lorentzian with a scattering rate linearly proportional to temperature Grayson and Drew (2002). A theoretical justification for this response has been obtained by Varma and Abrahams in terms of marginal Fermi liquid model in the form Varma and Abrahams (2001):

$$\mathrm{tan}\theta _\text{H}=\frac{\omega _\text{H}}{\gamma _\text{H}}+\frac{\mathrm{\Omega }\omega _\text{H}}{\gamma _\text{H}^2}$$
(3)
where $`\mathrm{\Omega }`$ is related to Fermi surface averages of derivatives of the elastic scatteering and $`\gamma _\text{H}`$ is the inelastic relaxation rate proportional to temperature and which is replaced with $`\gamma _\text{H}i\omega `$ for ac. In the dc limit this form accommodates the revised exponent of 1.78 and the Zn doping. This far-infrared behavior contrasts sharply with that suggested by the mid-infrared data for YBCO Cern$`\widehat{e}`$ et al. (2000) obtained using the spectral lines of a CO2 laser. When the cotangent of the Hall angle is fitted to a Drude model the resulting Hall mass and the Hall scattering rate, to within the accuracy of the data, display no frequency dependence within the range from 949 to 1079 cm1. However, the Hall frequency displays a slight decrease with increasing temperature, whereas the Hall scattering rate increases linearly with temperature from near zero at T$`_\text{c}`$ to over 300 cm$`{}_{}{}^{}1`$ at 250 K. However, the chain contributions to the conductivity for these twinned samples, grown by pulsed laser deposition, introduces considerable uncertainty in these results for the scattering rates and Hall mass.

In developing an understanding of transport in the cuprates the relation between the transport properties and the Angle-Resolved Photoemission Spectra (ARPES) will be important. In the past several years ARPES has mapped the Fermi surface and identified the d-wave symmetry of the order parameter. Using $`k_\text{F}=0.446\text{Å}^1`$ and $`v_\text{F}=1.8\text{eVÅ}`$ Valla et al. (2000, 1999) the ARPES Fermi surface mass is

$$m_\text{F}=\frac{\mathrm{}k_\text{H}^{}}{v_\text{F}}=\mathrm{}k_\text{H}^{}\left(\frac{1}{\mathrm{}}\frac{E}{k}\right)^1$$
(4)
where $`k_\text{F}^{}=0.69\text{Å}`$ is the Fermi wavenumber for the hole-like surface. The quasiparticle relaxation rate $`\mathrm{\Gamma }`$ is related to the width of the ARPES spectral density function at the Fermi energy. Within many body perturbation theory the low frequency current relaxtion rate is given directly by the EDC line widths or from the MDC line widths, $`\mathrm{\Delta }k`$, as $`\mathrm{\Gamma }_\text{F}v_\text{F}\mathrm{\Delta }k`$, where $`v_\text{F}`$ is the measured Fermi velocity. The existing ARPES data on BSCCO finds that $`\mathrm{\Gamma }\text{T}`$. However, the minimum values for $`\mathrm{\Gamma }`$ deduced from ARPES corresponding to the $`(\pi ,\pi )`$ or nodal direction on the Fermi surface are four times larger than the measured IR relaxation rates. It is not yet known whether this discrepancy can be reconciled in terms of small angle scattering issues or Fermi liquid effects or if it requires a more exotic interpretation.

Additionally ARPES measurements have revealed that there is a kink in the quasiparticle dispersion curve, which for Bi2Sr2CaCu2O8+δ occurs at about 50$`\pm `$15 meV Bogdanov et al. (2000). The change in slope results in a reduction in velocity of around a factor of two above the kink. Z. X. Shen et al. Shen et al. (2001) also report this kink occurring in LSCO at around 70 meV. The interprertation of this feature is controversial and includes electron-phonon interaction, the opening of a 50 meV superconducting gap, a spin excitation, or some type of interaction with the theorized stripe phase.

The experimental system of the current work measures the very small complex Faraday angle imparted to CO2 laser radiation traveling perpendicular to and transmitted by the sample immersed in a perpendicular magnetic field. The system is the same as that used by in the earlier YBCO study Cern$`\widehat{e}`$ et al. (2000) with the addition of an inline calibration system and a continuous stress-free temperature scan provision, and further modified to place a difraction-limited spot on the sample with post-sample spatial filtering Cern$`\widehat{e}`$ et al. (2002).

The sample of the current work was cleaved or rather, peeled from a single bulk crystal of Bi2Sr2CaCu2O8+δ grown by the floating zone method and then placed in thermal contact with a wedged BaF2 crystal. Measurement of the AC magnetic susceptance of this mounted peeled segment revealed a T$`_\text{c}`$ of 92 K with a width of less than 1K. This measurement, performed after all of the Hall measurements had been completed, establish the integrity of the sample and recommend the Hall data as representative of optimally doped BSCCO. Infrared conductivity data from measurements performed on bulk crystals from the same batch supplied the real and imaginary parts of $`\sigma _{xx}`$ required to obtain the Hall angle from the Faraday angle data. The calculation of $`\sigma _{xy}`$ considered the multilayer reflection effects within the BSCCO film Cern$`\widehat{e}`$ et al. (2002).

To form $`\theta _\text{H}`$ one divides $`\sigma _{xy}`$ by $`\sigma _{xx}`$ corresponding to the same temperature and frequency. Since we wish to examine that part of the Hall angle related to the free carriers it is necessary to remove the contributions to $`\sigma _{xx}`$ coming from interband transitions which occur above $``$1 volt. These transitions contribute essentially nothing to $`\sigma _{xy}`$ at the frequencies of these experiments. Therefore, before taking the ratio, we removed their contribution to the imaginary part of $`\sigma _{xx}`$ using the value $`ϵ_{\text{infinity}}=4.6`$ from Quijada Quijada (1994). This increases Re($`\theta _\text{H}`$) by about 5% and reduces Im($`\theta _\text{H}`$) by about 5%.

Figure 1 displays the resulting values of $`\theta _\text{H}^1`$. The most striking feature of the mid-infrared Hall angle response is its strong temperature dependence in comparison with the temperature dependence of $`\sigma _{xx}`$ at these frequencies Tu et al. (2002). The observed response is not consistent with the Lorentzian squared form found in YBCO at far-infrated frequencies which, in particular, implies a positive Re$`(\theta _\text{H})`$ at these frequencies. Indeed the response in the mid-infrared is found to be close to that of a Drude model $`\theta _\text{H}=\omega _H/(\gamma i\omega )`$. The Re$`(\theta _\text{H}^1)`$ in Fig. 1 is nearly frequency independent but strongly temperature dependent. The Im$`(\theta _\text{H}^1)`$ is only weakly temperature dependent and has a power law frequency dependence at 300 K but is of somewhat lower degree than the linear dependence $`\omega `$ expected for a Drude model. This suggests that by $`1000\text{cm}^1`$ the system is approaching but has not yet reached the high frequency asymptotic Drude form. The condition for achieving this asymptotic form are that the frequency must be higher than all the characteristic frequencies of the system, including the quasiparticle relaxation rate. While 100 meV is higher than the superconducting gap, the phonon energies and the neutron magnetic resonance it is still below the estimated antiferromagnetic coupling energy $`J200\text{meV}`$ for the cuprates. Indeed the longitudinal conductivity has not achieved the widely reported asymptotic behavior as can be seen in Fig. 2, where by 1000 cm-1 $`\text{Im}(\sigma )/\text{Re}(\sigma )`$ has become nearly frequency independent in contrast to the linear frequency dependence for a Drude response.

Figure 3 compares the real part of the Hall angle with that from the far-infrared data Grayson et al. (2002). We observe a disconnect between the behavior of the far- and mid-infrared Hall angle. Starting at about 230 cm-1 the real part of the Hall angle for low temperatures appears to be negative. However, as noted above it is positive at all temperatures above T$`_\text{c}`$ in the mid-infrared. The thin lines are fits of the full complex far-infrared Hall angle data to squared Lorentzians. However, the extension of the real part into the mid-infrared remains negative unlike the data which are positive. There are numerous ways to accommodate this plunge in the real part of the Hall angle at 300 cm-1 and to join these results with those of the mid-infrared of the current work. All would require at least one minimum and at least one maximum between 300 and 1000 cm-1 suggesting a resonance in this frequency interval. No such feature is seen in the data for $`\sigma _{xx}`$ Tu et al. (2002). However, a peak is present at 300 cm-1 in the phase of $`\sigma _{xx}`$ in the plot of $`\text{Im}\left(\sigma _{xx}\right)/\text{Re}\left(\sigma _{xx}\right)`$ at 100 K shown in Fig. 2. It is interesting to note that this feature in the phase is not predicted by most models that have been proposed for the conductivity in the cuprates, for example, the coldspot model Ioffe and Millis (1998). Further, its frequency roughly corresponds to numerous other phenomena including the 41 meV spin resonance, the 50$`\pm `$15 meV phonon interaction Bogdanov et al. (2000), the superconducting gap, and the quasiparticle band width of the three band Hubbard model.

In view of the near Drude behavior of the mid-IR Hall data we have used the Drude model to extract the parameters of the model $`\omega _\text{H}`$ and $`\gamma _\text{H}`$ and to examine their frequency and temperature dependence. We express $`\omega _\text{H}`$ in terms of the Hall mass defined as $`m_\text{H}=eB/\omega _\text{H}c`$. The data are shown in Figs. 4 and 5. The Hall mass is seen to be in remarkably good agreement, especially at $`T_c`$, with the hole effective mass at the Fermi level deduced from ARPES measurements. The inset data in Fig. 4 indicates a decreasing mass with frequency in accord with the general expectation that it approach the band value estimated at about half the value at $`E_\text{F}`$. The data also indicate an increasing mass with temperature, which is quite counter to the expectations for strongly interacting systems. However, we note that $`\gamma _\text{H}`$ and the carrier relaxation rate in general is an increasing function of $`T`$ achieving its smallest value at $`T_c`$. As the Hall angle (or inverse Hall angle) can be expanded asymptotically as a series in $`z=\gamma _n/\omega `$ (where $`\gamma _n`$ are various averages of the scattering rates) the asymptotic behavior is most closely achieved at the lowest temperatures where z is small. Indeed it is seen that $`m_\text{H}`$ is in excellent agreement with ARPES at low $`T`$ and deviates as $`T`$ is increased.

Figure 4 displays a Hall mass, which is roughly twice the value of the longitudinal mass calculated from $`\sigma _{xx}`$ in the mid-infrared. The frequency dependences for the Hall mass and longitudinal mass are similar displaying a slow decrease with increasing frequency. However, the temperature dependences of the masses are opposite each other with the Hall mass actually increasing about 20% over the temperature range of 100 to 300K. Finally, the same ARPES measurements which imply a very different scattering rate find a full dressed mass at the Fermi level which is nearly equal to the measured mid-infrared Hall mass.

The linear temperature dependence of the Hall scattering rate in the mid-infrared also disagrees with the ARPES results for $`\text{Im}\mathrm{\Sigma }`$ Valla et al. (1999), which imply a decreasing temperature dependence with increasing frequency as is also seen in $`\sigma _{xx}`$. Also marginal Fermi liquid theory, which posits a linear temperature dependence of the scattering is at odds with the lack of frequency dependence. Any significant frequency dependence would cause a significant positive intercept in the zero temperature projection of the normal state scattering rate in Fig. 5. The lack of frequency dependence of the scattering rate of the current work on the other hand contravenes both Fermi liquid and marginal Fermi liquid theories, which claim a strong frequency dependence for the scattering rate at temperatures low compared to the photon energies of the experiment. We find little or no frequency dependence of the scattering rate at $`\omega =1000125\text{meV}`$. The far-infrared scattering rate when compared to that of the mid-infrared exhibits the same linear increase with temperature. However, the projection of the normal state mid-infrared scattering rate to zero temperature is negative. This feature was also observed for YBCO Cern$`\widehat{e}`$ et al. (2000).

Figure 5 also shows the relaxation rates deduced from measured quantities from the mid-IR Hall data and a number of other experiments. These include IR conductivity $`\gamma ^{}`$ for BSCCO Tu et al. (2002) determined from the slope in Fig. 2 extrapolated to zero frequency :

$$\gamma ^{}=\frac{\gamma }{1+\lambda (\omega )}=\omega \frac{\text{Re}(1/\sigma )}{\text{Im}(1/\sigma )}=\omega \frac{\text{Re}(\sigma )}{\text{Im}(\sigma )}$$
(5)
Also included are: the relaxation rate deduced from $`\sigma _{xx}`$ for YBCO extrapolated to zero frequency designated “Quijada $`\gamma ^{}`$” Quijada (1994); the Hall relaxation rates designated “Grayson $`\gamma _\text{H}^2`$” and “Grayson $`\gamma _{xy}`$” both for YBCO in the far-infrared, the first using using the squared Lorentzian analysis and the second using a simple Drude applied to $`\sigma _{xy}`$ Grayson et al. (2002); the terahertz relaxation rate designated “Corson $`\gamma ^{}`$” Corson et al.  deduced from $`\gamma ^{}`$ for BSCCO at 0.2-1.0 THz; the Hall relaxation rate for YBCO designated “Rigal $`\gamma _\text{H}`$” deduced from $`\theta _\text{H}`$ Rigal ; and the ARPES zero frequency value for $`\mathrm{\Gamma }`$ for BSCCO designated “Valla $`\mathrm{\Gamma }`$” Valla et al. (2000). Except for the ARPES result, the different relaxation rates are in remarkable agreement with each other, especially at low $`T`$. However, they are all significantly smaller than the hole scattering rates at $`E_\text{F}`$ deduced from ARPES in the $`(\pi ,\pi )`$ direction where the linewidths take on their minimum values.

These results suggest a universal linear $`T`$ relaxation rate in the hole doped cuprates. More remarkably they also suggest that the transport relaxation rate is temperature dependent but not frequency dependent. In this case the apparent frequency dependence of the infrared relaxation rate deduced from $`\sigma `$ may not represent an inelastic scattering effect but drives instead from some other mechanism such as that suggested by Ioffe and Millis. Therefore these results suggest that current relaxation in the optimally doped cuprates is quasi-elastic.

We acknowledge fruitful discussions with C. Varma, E. Abrahams, V. Yakovenko, and A. Millis. This work was supported by the NSF under grant DMR-0070949 and by DOE under contract no. DE-AC02-98CH10886.


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# Nonlinear Filtering of Diffusion Processes in Correlated Noise: Analysis by Separation of Variables

## 1. Introduction

Let $`(\mathrm{\Omega },,)`$ be a probability space with a Wiener process $`W=W(t)`$. Consider a random field $`u=u(t,x)`$, $`0tT`$, $`x^d`$ so that $`uL_2(\mathrm{\Omega };𝐂([0,T];L_2(^d)))`$ and $`u(T,)`$ is measurable with respect to the sigma-algebra $`_T^W`$ generated by the Wiener process up to time $`T`$. If $`\{e_k,k1\}`$ is an orthonormal basis in $`L_2(^d)`$ and $`\{\xi _m,m1\}`$ is an orthonormal basis in $`L_2(\mathrm{\Omega },_T^W)`$, then we can write

(1.1)
$$u(t,x)\underset{k=1}{\overset{K}{}}\left(\underset{m=1}{\overset{M}{}}\phi _{m,k}^K(t)\xi _m\right)e_k(x).$$

where $`\phi _{km}(T)`$ are some deterministic coefficients. The objective of the current work is to study approximation (1.1) when the random field $`u`$ is a solution of a stochastic parabolic equation. For such random fields it is possible to derive explicit representation for the coefficients $`\phi _{km}`$ and get an upper bound on the approximation error in (1.1). The results are then used to derive an approximate algorithm for solving the nonlinear filtering problem of diffusion processes with correlated noise.

The problem of nonlinear filtering can be briefly described as follows. Assume that $`(X=X(t),Y=Y(t)),t0,`$ are two diffusion processes with values in $`^d`$ and $`^r`$ respectively, so that $`X`$ is the unobservable component and the observable component $`Y`$ is given by

$$Y(t)=_0^th(X(s))𝑑s+W(t).$$

The problem is called noise-uncorrelated, if the Wiener process $`W=W(t)`$, representing the observation noise, is independent of $`X`$. The problem is called noise-correlated, if there is correlation between $`W`$ and $`X`$. If $`f=f(x)`$ is a measurable function satisfying $`𝔼|f(X(t))|^2<\mathrm{},t0,`$ then the problem of nonlinear filtering is to find the best mean square estimate $`\widehat{f}_t`$ of $`f(X(t))`$ given the trajectory $`Y(s),st.`$ It is known  that, under certain regularity assumptions, we have

(1.2)
$$\widehat{f}_t=\frac{_^df(x)p(t,x)𝑑x}{_^dp(t,x)𝑑x},$$

where $`p=p(t,x)`$ is a random field called the unnormalized filtering density (UFD). The problem of estimating $`f(X(t))`$ is thus reduced to the problem of computing the UFD $`p`$. It is also known  that $`p=p(t,x)`$ is the solution of the Zakai filtering equation, a stochastic parabolic equation, driven by the observation process. The exact solution of this equation can be found only in some special cases, and the development of numerical schemes for solving the Zakai equation has become an area of active research.

Many of the existing numerical schemes for the Zakai equation use various generalizations of the corresponding algorithms for the deterministic partial differential equations. Examples of the corresponding algorithms can be found in Bennaton , Florchinger and LeGland , Ito , etc. Because of the large amount of calculations, these algorithms cannot be implemented in real time when the dimension of the state process is more than three.

In some applications, like target tracking, the filter estimate must be computed in real time. Such applications require filtering algorithms with fast on line computations. When the parameters of the model are known in advance, the real time computations can be simplified by separating the deterministic and stochastic components of the Zakai equation and performing the computations related to the deterministic component in advance. The separation is based on the Wiener chaos decomposition of solutions of stochastic parabolic equations. Starting with the works of Kunita , Ocone , and Lo and Ng , this approach was further developed by Budhiraja and Kallianpur  and Mikulevicius and Rozovskii . An algorithm to solve the Zakai equation using this approach for the noise uncorrelated problem was suggested in Lototsky et al. . The algorithm in  was based on the following approximation. First, the unnormalized filtering density was approximated using the Wiener Chaos decomposition:

(1.3)
$$p(t,x)\underset{m=1}{\overset{M}{}}\phi _m(t,x)\xi _m.$$

After that, the coefficients $`\phi _m`$ were expanded in the basis $`\{e_k\}`$ in $`L_2(^d)`$, resulting in the approximation

(1.4)
$$p(t,x)\underset{m=1}{\overset{M}{}}\left(\underset{k=1}{\overset{K}{}}\phi _{m,k}(t)e_k(x)\right)\xi _m.$$

In other words, first, the stochastic variable was separated, and then, the spacial variable.

Alternatively, one can start with the Galerkin approximation of $`p`$:

(1.5)
$$p(t,x)\underset{k=1}{\overset{K}{}}p_k^K(t)e_k(x).$$

The coefficients $`p_k^K(t)`$ satisfy a system of stochastic ordinary differential equations driven by the observation process. The solution of this system is then expanded using the Wiener Chaos decomposition, resulting in the approximation of the type (1.1):

(1.6)
$$p(t,x)\underset{k=1}{\overset{K}{}}\left(\underset{m=1}{\overset{M}{}}\phi _{m,k}^K(t)\xi _m\right)e_k(x).$$

In other words, first, the spacial variable is separated, then, the stochastic variable. The optimal filter is then approximated by

(1.7)
$$\widehat{f}_t\frac{_{k=1}^K\left(_{m=1}^M\phi _{m,k}^K(t)\xi _m\right)f_k}{_{k=1}^K\left(_{m=1}^M\phi _{m,k}^K(t)\xi _m\right)\alpha _k},$$

where $`f_k=_^df(x)e_k(x)𝑑x,\alpha _k=_^de_k(x)𝑑x`$. First suggested in  as a computational alternative to (1.4), approximation (1.6) was further analysed in .

The order in which the variables are separated does make a difference. The algorithms based on approximations (1.4) and (1.6) have different approximation errors and, unlike (1.4), analysis of (1.6) is possible for noise correlated problem.

Recall that the Zakai filtering equation for the unnormalized filtering density $`p=p(t,x)`$ is

(1.8)
$$dp=^{}pdt+^{}pdY(t).$$

The elliptic differential operator $``$ is the generator of the unobserved process $`X`$, while the operator $``$ is bounded in the noise uncorrelated problem and in unbounded in the noise correlated problem. The presence of the unbounded operator in the stochastic part of equation (1.8) for the noise correlated problem makes the analysis and implementation of the numerical methods for the Zakai equation much more difficult (see, for example, Florchinger and LeGland ).

The objective of the current work is to analyze the algorithm for solving the Zakai equation using approximation (1.6). First, (1.6) is studied for an abstract stochastic evolution system. In Section 2, the Galerkin approximation is investigated, and in Section 3, the Wiener chaos decomposition for a system of stochastic ordinary differential equations. In each situation, the rate of convergence is established in terms of the numbers $`K`$ and $`M`$ of the basis function used. The filtering problem is introduced in Section 4, the filtering algorithm is presented in Section 5, and the convergence of the algorithm is studied in Section 6. The real time part of the proposed algorithm does not require solving differential equations or using quadrature methods to evaluate integrals in (1.2). The algorithm can also be used if the observations are available in discrete time.

Unlike the previous works on the subject, this paper presents a unified treatment of both noise-correlated and noise-uncorrelated problems with possibly degenerate diffusion in the un-observed component. Another difference from the previous works on the subject is that the error bound is derived not only for the filtering density but also for the optimal filter $`\widehat{f}_t`$ with a large class of functions $`f`$.

## 2. Galerkin approximation of stochastic evolution equations

Consider the stochastic evolution system

(2.1)
$$u(t)=u_0+_{T_0}^t𝒜u(s)𝑑s+_{T_0}^t\underset{l=1}{\overset{r}{}}_lu(s)dW_l(s),T_00,$$

where $`W=W(t)`$ is an $`r`$ \- dimensional standard Wiener process on a complete probability space $`(\mathrm{\Omega },,)`$, $`u_0`$ is independent of $`W`$, and $`𝒜`$ and $`_l,l=1,\mathrm{},r,`$ are linear operators acting in the scale of infinite dimensional Hilbert spaces $`\{𝐇^a,a\}`$. To simplify the notation, both the inner product in $`𝐇^0`$ and the duality between $`𝐇^1`$ and $`𝐇^1`$ will be denoted by $`(,)_0`$; $`_a`$ is the norm in the space $`𝐇^a`$. It will be assumed that equation (2.1) is either coercive or dissipative \[22, Chapter 3\]. In particular, there exists a constant $`C^{}>0`$ so that, for every $`v𝐇^1`$,

(2.2)
$$𝒜v_1C^{}v_1,_lv_0C^{}v_1,\mathrm{and}2(𝒜v,v)_0+\underset{l=1}{\overset{r}{}}_lv_0^2C^{}v_0^2.$$

If $`u_0𝐇^1`$, then there is a unique solution $`u=u(t)`$ in the space $`L_2(\mathrm{\Omega }\times [T_0,T];𝐇^1)L_2(\mathrm{\Omega };𝐂([T_0,T];𝐇^0))`$ (see Theorems 3.1.4 and 3.2.2 in ).

Suppose there exists an orthonormal basis $`\{e_k,k\}`$ in $`𝐇^0`$ so that $`e_k𝐇^1`$ for all $`k`$. Consider the following system of stochastic ordinary differential equations:

(2.3)
$$\begin{array}{ccc}du_k^K(t)\hfill & =\hfill & \underset{n=1}{\overset{K}{}}(𝒜e_n,e_k)_0u_n^K(t)dt\hfill \\ & +\hfill & \underset{l=1}{\overset{r}{}}\underset{n=1}{\overset{K}{}}(_le_n,e_k)_0u_n^K(t)dW_l(t),T_0<tT,\hfill \\ u_k^K(T_0)\hfill & =\hfill & (u_0,e_k)_0,k=0,\mathrm{},K.\hfill \end{array}$$

The function

$$u^K(t)=\underset{k=1}{\overset{K}{}}u_k^K(t)e_k$$

is called the Galerkin approximation of $`u(t)`$. It is proved in the following theorem that, under some natural assumptions,

$$\underset{K\mathrm{}}{lim}\underset{T_0tT}{sup}𝔼u(t;T_0;u_0)u^K(t)_0^2=0,$$

and the rate of convergence is determined.

2.1. Theorem.  Let the following conditions be fulfilled:

1. The basis $`\{e_k\}`$ consists of the eigenfunctions of a linear operator $`\mathrm{\Lambda }`$ with the corresponding eigenvalues $`\lambda _k`$. The operator $`\mathrm{\Lambda }`$ is a symmetric operator in $`^0`$ and there exist numbers $`0<c_1<c_2`$ and $`\theta >0`$ so that, for all $`k`$,

(2.4)
$$c_1\lambda _kk^\theta c_2;$$
2. $`e_k𝐇^1`$ and $`e_k_1C_ek^q,q0`$;
3. $`sup_{T_0tT}𝔼\mathrm{\Lambda }^\nu u(t)_0^2<\mathrm{}`$ for some positive integer $`\nu `$ so that $`\theta _1:=\nu \theta 2q>1`$.

Then

(2.5)
$$\underset{T_0tT}{sup}𝔼u(t)u^K(t)_0^2\underset{T_0tT}{sup}𝔼\mathrm{\Lambda }^\nu u(t)_0^2\frac{Ce^{C(TT_0)}}{K^{2(\theta _11)}},$$

where $`C`$ is a constant depending only on the constant $`C^{}`$ in (2.2) and the numbers $`c_1,c_2,C_e,\nu ,\theta ,q`$.

Proof. If $`\psi _k(t):=(u(t),e_k)_0`$, then

(2.6)
$$𝔼u(t)u^K(t)_0^2=\underset{k=0}{\overset{K}{}}𝔼|\psi _k(t)u_k^K(t)|^2+\underset{k>K}{}𝔼|\psi _k(t)|^2.$$

By assumptions 1 and 3 of the theorem,

(2.7)
$$|\psi _k(t)|\frac{\mathrm{\Lambda }^\nu u(t)_0}{\lambda _k^\nu }$$

so that

(2.8)
$$\underset{T_0tT}{sup}\underset{k>K}{}𝔼|\psi _k(t)|^2\underset{T_0tT}{sup}𝔼\mathrm{\Lambda }^\nu u(t)_0^2\frac{C}{K^{2\nu \theta 1}}\underset{T_0tT}{sup}𝔼\mathrm{\Lambda }^\nu u(t)_0^2\frac{C}{K^{2(\theta _11)}}.$$

For $`1kK`$ define $`\delta _k(t):=\psi _k(t)u_k^K(t),`$ so that $`_{k=1}^K𝔼|\psi _k(t)u_k^K(t)|^2=_{k=1}^K𝔼|\delta _k|^2,`$ and also define

$$\delta _{1,n}(t):=\underset{k>K}{}(𝒜e_k,e_n)_0\psi _k(t),\delta _{2,n}^l(t):=\underset{k>K}{}(_le_k,e_n)_0\psi _k(t).$$

Both $`\delta _{1,n}(t)`$ and $`\delta _{2,n}^l(t)`$ are well defined due to (2.7) and assumptions 2 and 3 of the theorem. Then

(2.9)
$$\begin{array}{ccc}d\delta _n(t)\hfill & =\hfill & \underset{k=1}{\overset{K}{}}(𝒜e_k,e_n)_0\delta _k(t)dt+\underset{l=1}{\overset{r}{}}\underset{k=1}{\overset{K}{}}(_le_k,e_n)_0\delta _k(t)dW_l(t)\hfill \\ & +\hfill & \delta _{1,n}(t)dt+\underset{l=1}{\overset{r}{}}\delta _{2,n}^ldW_l(t),T_0<tT;\hfill \\ \delta _n(T_0)\hfill & =\hfill & 0,1nK,\hfill \end{array}$$

and by the Ito formula,

(2.10)
$$\begin{array}{c}\underset{n=1}{\overset{K}{}}𝔼|\delta _n(t)|^2=2_{T_0}^t\underset{n,k=1}{\overset{K}{}}(𝒜e_k,e_n)_0𝔼\delta _n(s)\delta _k(s)ds\hfill \\ +\underset{l=1}{\overset{r}{}}\underset{n=1}{\overset{K}{}}_{T_0}^t𝔼\left(\underset{k=1}{\overset{K}{}}(_le_k,e_n)_0\delta _k(s)\right)^2𝑑s+2\underset{n=1}{\overset{K}{}}_{T_0}^t𝔼\delta _{1,n}(s)\delta _n(s)𝑑s\hfill \\ +2\underset{l=1}{\overset{r}{}}\underset{n,k=1}{\overset{K}{}}_{T_0}^t(_le_k,e_n)_0𝔼\delta _{2,n}^l(s)\delta _k(s)𝑑s+\underset{l=1}{\overset{r}{}}\underset{n=1}{\overset{K}{}}_{T_0}^t𝔼(\delta _{2,n}^l(s))^2𝑑s.\hfill \end{array}$$

It follows from the third inequality in (2.2) that

(2.11)
$$\begin{array}{c}2_{T_0}^t\underset{n,k=1}{\overset{K}{}}(𝒜e_k,e_n)_0𝔼\delta _n(s)\delta _k(s)ds\hfill \\ +\underset{l=1}{\overset{r}{}}\underset{n=1}{\overset{K}{}}_{T_0}^t𝔼\left(\underset{k=1}{\overset{K}{}}(_le_k,e_n)_0\delta _k(s)\right)^2𝑑sC\underset{k=1}{\overset{K}{}}_{T_0}^t𝔼(\delta _k(s))^2𝑑s.\hfill \end{array}$$

The first two inequalities in (2.2) and assumption 2 imply

$$|(𝒜e_k,e_n)_0|Ce_k_1e_n_1Ck^qn^q,|(_le_k,e_n)_0|Ce_k_1e_n_0Ck^q,$$

so that by (2.7),

$$|\delta _{1,n}(t)|Cn^q\frac{\mathrm{\Lambda }^\nu u(t)_0}{K^{\nu \theta q1}},|\delta _{2,n}^l|C\frac{\mathrm{\Lambda }^\nu u(t)_0}{K^{\nu \theta q1}},$$

and

(2.12)
$$\begin{array}{c}\underset{n=1}{\overset{K}{}}_{T_0}^T𝔼(\delta _{1,n}(s))^2𝑑s+\underset{l=1}{\overset{r}{}}\underset{n=1}{\overset{K}{}}_{T_0}^T𝔼(\delta _{2,n}^l(s))^2𝑑s\hfill \\ (TT_0)\underset{T_0tT}{sup}𝔼\mathrm{\Lambda }^\nu u(t)_0^2\frac{(r+1)C}{K^{2(\theta _11)}}.\hfill \end{array}$$

After that (2.10)–(2.12) and the obvious inequality $`2|ab|a^2+b^2`$ imply

$$\underset{n=1}{\overset{K}{}}𝔼|\delta _n(t)|^2C\underset{n=1}{\overset{K}{}}_{T_0}^t𝔼|\delta _n(s)|^2𝑑s+(TT_0)\underset{T_0tT}{sup}𝔼\mathrm{\Lambda }^\nu u(t)_0^2\frac{(r+1)C}{K^{2(\theta _11)}},$$

so that by the Gronwall inequality

$$\underset{T_0tT}{sup}\underset{n=1}{\overset{K}{}}𝔼|\delta _n(t)|^2(TT_0)\underset{T_0tT}{sup}𝔼\mathrm{\Lambda }^\nu u(t)_0^2e^{C(TT_0)}\frac{(r+1)C}{K^{2(\theta _11)}}.$$

Together with (2.6) and (2.8), the last inequality implies (2.5). Theorem 2 is proved. $`\mathrm{}`$

## 3. Wiener Chaos Expansion

On a complete probability space $`(\mathrm{\Omega },,)`$ consider a system of stochastic ordinary differential equations:

(3.1)
$$U(t)=U_0+_{T_0}^tAU(s)𝑑s+_{T_0}^t\underset{l=1}{\overset{r}{}}B_lU(s)dW_l(s)T_00,$$

where $`U(t),U_0^K,`$ $`A,B_l^{K\times K},`$ the matrices $`A,B_l`$ are deterministic, and $`U_0`$ is independent of the $`r`$-dimensional Wiener process $`W`$. The solution of (3.1) is denoted by $`U(t;T_0;U_0).`$

In what follows, the Wiener chaos decomposition of $`U(t;T_0;U_0)`$ will be derived and the properties of the decomposition studied.

As the first step, recall the construction of an orthonormal basis in the space $`L_2(\mathrm{\Omega },_{T_0,t}^W,)`$ of square integrable random variables that are measurable with respect to the $`\sigma `$-algebra, generated by the Wiener process up to time $`t`$. Let $`\alpha `$ be an $`r`$-dimensional multi-index, that is, a collection $`\alpha =(\alpha _k^l)_{1lr,k1}`$ of nonnegative integers such that only finitely many of $`\alpha _k^l`$ are different from zero. The set of all such multi-indices will be denoted by $`J`$. For $`\alpha J`$ define $`\alpha !:=_{k,l}(\alpha _k^l!)`$.

For a fixed $`t^{}>T_0`$ choose a complete orthonormal system $`\{m_k\}=\{m_k(s)\}_{k1}`$ in $`L_2([T_0,t^{}])`$ and define

$$\xi _{k,l}=_{T_0}^t^{}m_k(s)𝑑W_l(s)$$

so that $`\xi _{k,l}`$ are independent Gaussian random variables with zero mean and unit variance.

If

(3.2)
$$H(x):=(1)^ne^{x^2/2}\frac{d^n}{dx^n}e^{x^2/2}$$

is the $`n`$-th Hermite polynomial, then the collection

$$\left\{\xi _\alpha (W_{T_0,t^{}}):=\underset{k,l}{}\left(\frac{H_{\alpha _k^l}(\xi _{k,l})}{\sqrt{\alpha _k^l!}}\right),\alpha J\right\}$$

is an orthonormal system in $`L_2(\mathrm{\Omega },_{T_0,t^{}}^W,).`$ A theorem of Cameron and Martin  shows that $`\{\xi _\alpha (W_{T_0,t^{}})\}_{\alpha J}`$ is actually a basis in that space.

3.1. Theorem.  If $`\eta L_2(\mathrm{\Omega },_{T_0,t^{}}^W,),`$ then

(3.3)
$$\eta =\underset{\alpha J}{}𝔼[\eta \xi _\alpha (W_{T_0,t^{}})]\xi _\alpha (W_{T_0,t^{}})$$

and

$$𝔼|\eta |^2=\underset{\alpha J}{}|𝔼\eta \xi _\alpha (W_{T_0,t^{}})|^2.$$

Proof. This theorem is proved in  and . $`\mathrm{}`$

3.2. Theorem.  If $`t^{}>T_0`$ is fixed, then, for every $`s[T_0,t^{}]`$, the solution $`U(s;T_0;U_0)`$ can be written as

(3.4)
$$U(s;T_0;U_0)=\underset{\alpha J}{}\frac{1}{\sqrt{\alpha !}}\phi _\alpha (s;T_0;U_0)\xi _\alpha (W_{T_0,t^{}}),$$

and the following Parseval’s equality holds:

(3.5)
$$𝔼|U(s;T_0;U_0)|^2=\underset{\alpha J}{}\frac{1}{\alpha !}E|\phi _\alpha (s;T_0;U_0)|^2.$$

The coefficients of the expansion are $`^K`$-vector functions and satisfy the recursive system of deterministic equations

(3.6)
$$\begin{array}{ccc}\frac{\phi _\alpha (s;T_0;U_0)}{s}\hfill & =A\phi _\alpha (s;T_0;U_0)+\underset{k,l}{}\alpha _k^lm_k(s)B_l\phi _{\alpha (k,l)}(s;T_0;U_0),T_0<st^{};\hfill & \\ \phi _\alpha (T_0;T_0;U_0)\hfill & =U_01_{\{|\alpha |=0\}},\hfill & \end{array}$$

where $`\alpha =(\alpha _k^l)_{1lr,k1}J`$ and $`\alpha (i,j)`$ stands for the multi-index $`\stackrel{~}{\alpha }=(\stackrel{~}{\alpha }_k^l)_{1lr,k1}`$ with

(3.7)
$$\stackrel{~}{\alpha }_k^l=\{\begin{array}{cc}\alpha _k^l\hfill & \mathrm{if}ki\mathrm{or}lj\mathrm{or}\mathrm{both}\hfill \\ \mathrm{max}(0,\alpha _i^j1)\hfill & \mathrm{if}k=i\mathrm{and}l=j.\hfill \end{array}$$

Proof. Assume first that $`U_0=g`$ is deterministic; the Markov property of the solution of (3.1) implies that, once the derivation is complete, we can replace $`g`$ with $`U_0`$.

If $`g`$ is deterministic, then $`U(s;T_0;g)L_2(\mathrm{\Omega },_{T_0,t^{}}^W,)`$ for $`st^{}`$, and Theorem 3 implies (3.4) and (3.5).

To prove that the coefficients satisfy (3.6), define

$$P_t(z)=\mathrm{exp}\left\{_{T_0}^t\underset{l=1}{\overset{r}{}}m_z^l(s)dW_l(s)\frac{1}{2}_{T_0}^t\underset{l=1}{\overset{r}{}}|m_z^l(s)|^2ds\right\},T_0tt^{},$$

where $`m_z^l=_{k1}m_k(s)z_k^l`$ and $`\{z_k^l\},l=1,\mathrm{},r,k=1,2,\mathrm{},`$ is a sequence of real numbers such that $`_{k,l}|z_k^l|^2<\mathrm{}`$. Then direct computations show that

$$\xi _\alpha (W_{T_0,t^{}})=\frac{1}{\sqrt{\alpha !}}\frac{^\alpha }{z^\alpha }P_t^{}(z)|_{z=0},$$

where

$$\frac{^\alpha }{z^\alpha }=\underset{k,l}{}\frac{^{\alpha _k^l}}{(z_k^l)^{\alpha _k^l}},$$

and also, that

$$𝔼[\eta \xi _\alpha (W_{T_0,t^{}})]=\frac{^\alpha }{z^\alpha }𝔼[\eta P_t^{}(z)]|_{z=0}$$

for every $`\eta L_2(\mathrm{\Omega },_{T_0,t^{}}^W,).`$ Consequently,

$$\begin{array}{c}\phi _\alpha (s;T_0;g)=\frac{^\alpha }{z^\alpha }𝔼[U(s;T_0;g)P_t^{}(z)]|_{z=0}\\ =\frac{^\alpha }{z^\alpha }𝔼[U(s;T_0;g)P_s(z)]|_{z=0},\end{array}$$

where the second equality follows from the martingale property of $`P_s(z)`$ on
$`(\mathrm{\Omega },\{_{T_0,t}^W\}_{T_0tt^{}},).`$ It follows from the definition of $`P_s(z)`$ that

$$dP_s(z)=\underset{l=1}{\overset{r}{}}m_z^l(s)P_s(z)dW_l(s),T_0st;P_{T_0}(z)=1.$$

Then (3.1) and the Ito formula imply that

$$\begin{array}{c}U(s;T_0;g)P_s(z)=g\\ +_{T_0}^s\left(AU(\tau ;T_0;g)+\underset{l=1}{\overset{r}{}}B_lU(\tau ;T_0;g)\right)m_z^l(\tau )P_\tau (z)𝑑\tau \\ +\underset{T_0}{\overset{s}{}}\underset{l=1}{\overset{r}{}}\left(B_lU(\tau ;T_0;g)+U(\tau ;T_0;g)m_z^l(s)\right)P_s(z)dW_l(\tau ).\end{array}$$

Taking the expectation on both sides of the last equality and setting
$`\phi (s,z;T_0;g):=𝔼U(s;T_0;g)P_s(z)`$ results in

$$\phi (s,z;T_0;g)=g+_{T_0}^s\left(A\phi (\tau ,z;T_0;g)+\underset{l=1}{\overset{r}{}}m_z^l(\tau )B_l\phi (\tau ,z;T_0;g)\right)𝑑\tau .$$

Applying the operator $`{\displaystyle \frac{1}{\sqrt{\alpha !}}}{\displaystyle \frac{^\alpha }{z^\alpha }}`$ and setting $`z=0`$ yields that the functions $`\phi _\alpha (s;T_0;g)`$ satisfy (3.6). Theorem 3 is proved. $`\mathrm{}`$

For a multi-index $`\alpha J`$ define

* $`|\alpha |:=_{l,k}\alpha _k^l`$ (length of $`\alpha `$);
* $`d(\alpha ):=\mathrm{max}\{k1:\alpha _k^l>0\text{for some}1lr\}`$ (order of $`\alpha `$).

To study the rate of convergence of the series in (3.4), it is necessary to note that the summation $`_{\alpha J}`$ is double infinite:

(3.8)
$$\underset{\alpha J}{}=\underset{k=0}{\overset{\mathrm{}}{}}\underset{|\alpha |=k}{}$$

and there are infinitely many multi-indices $`\alpha `$ with $`|\alpha |=k>0`$.

Define $`J_N^n=\{\alpha J:|\alpha |N,d(\alpha )n\}`$ and then

(3.9)
$$U_N^n(s;T_0;U_0)=\underset{\alpha J_N^n}{}\frac{1}{\sqrt{\alpha !}}\phi _\alpha (s;T_0;U_0)\xi _\alpha (W_{T_0,t^{}}).$$

Now the summation in (3.9) is over a finite set: if $`d(\alpha )n`$, then there are at most $`(nr)^k`$ multi-indices $`\alpha `$ with $`|\alpha |=k`$.

3.3. Theorem.  Let the constants $`C_0,C_1,C_2`$ be such that $`|Av|^2C_0|v|^2`$, $`|e^{At}v|^2e^{C_1t}|v|^2`$, $`|B_lv|^2C_2|v|^2`$ for every vector $`v^K`$. If the basis $`\{m_k\}`$ is the Fourier cosine basis

(3.10)
$$m_1(s)=\frac{1}{\sqrt{t^{}T_0}};m_k(s)=\sqrt{\frac{2}{t^{}T_0}}\mathrm{cos}\left(\frac{\pi (k1)(sT_0)}{t^{}T_0}\right),k>1;T_0st^{},$$

then

(3.11)
$$\begin{array}{c}𝔼|U(t^{};T_0;U_0)U_N^n(t^{};T_0;U_0)|^22e^{\overline{C}(t^{}T_0)}(\frac{[C_2r(t^{}T_0)]^{N+1}}{(N+1)!}\\ +2C_2r\frac{(t^{}T_0)^2}{n}[ϵ(B)+C_0(1+C_2r(t^{}T_0))(t^{}T_0)])𝔼|U_0|^2,\end{array}$$

where $`\overline{C}=C_1+C_2r`$ and $`0ϵ(B)4`$; $`ϵ(B)=0`$ if the matrices $`B_l`$ commute (in particular, if $`r=1`$).

This Theorem is proved below in Section 7.

If $`t^{}T_0=\mathrm{\Delta }`$, then (3.11) becomes

(3.12)
$$𝔼|U(t^{};T_0;U_0)U_N^n(t^{};T_0;U_0)|^2e^{C\mathrm{\Delta }}\left(\frac{(C\mathrm{\Delta })^{N+1}}{(N+1)!}+\frac{\mathrm{\Delta }^2}{n}(ϵ(B)+C\mathrm{\Delta })\right)𝔼|U_0|^2,$$

and the constant $`C`$ depends only on the matrices $`A`$ and $`B_l`$ in (3.1).

## 4. Diffusion Filtering Model

Let $`(\mathrm{\Omega },,)`$ be a complete probability space with independent standard Wiener processes $`W=W(t)`$ and $`V=V(t)`$ of dimensions $`d_1`$ and $`r`$ respectively. Let $`X_0`$ be a random variable independent of $`W`$ and $`V`$. In the diffusion filtering model, the unobserved $`d`$ \- dimensional state (or signal) process $`X=X(t)`$ and the $`r`$-dimensional observation process $`Y=Y(t)`$ are defined by the stochastic ordinary differential equations

(4.1)
$$\begin{array}{c}dX(t)=b(X(t))dt+\sigma (X(t))dW(t)+\rho (X(t))dV(t),\hfill \\ dY(t)=h(X(t))dt+dV(t),0<tT;\hfill \\ X(0)=X_0,Y(0)=0,\hfill \end{array}$$

where $`b(x)^d`$, $`\sigma (x)^{d\times d_1}`$, $`\rho (x)^{d\times r}`$, $`h(x)^r`$.

Assumption R1. The functions $`\sigma `$ and $`\rho `$ are $`𝐂_b^3(^d)`$, that is, bounded and three times continuously differentiable on $`^d`$ so that all the derivatives are also bounded; the functions $`b`$ and $`h`$ are $`𝐂_b^2()`$, and the random variable $`X_0`$ has a density $`p_0`$.

Under Assumption R1 system (4.1) has a unique strong solution \[12, Theorems 5.2.5 and 5.2.9\].

If $`f=f(x)`$ is a scalar measurable function on $`^d`$ so that $`sup_{0tT}𝔼|f(X(t))|^2<\mathrm{}`$, then the filtering problem for (4.1) is to find the best mean square estimate $`\widehat{f}_t`$ of $`f(X(t)),tT,`$ given the observations $`Y(s),0<st`$. Denote by $`_t^Y`$ the $`\sigma `$-algebra generated by $`Y(s),0st`$. Then the properties of the conditional expectation imply that the solution of the filtering problem is

$$\widehat{f}_t=𝔼\left(f(X(t))|_t^Y\right).$$

To derive an alternative representation of $`\widehat{f}_t`$, some additional constructions will be necessary.

Define a new probability measure $`\stackrel{~}{}`$ on $`(\mathrm{\Omega },)`$ as follows: for $`A`$,

$$\stackrel{~}{}(A)=_AZ_T^1𝑑,$$

where

$$Z_t=\mathrm{exp}\left\{_0^th^{}(X(s))𝑑Y(s)\frac{1}{2}_0^t|h(X(s))|^2𝑑s\right\}$$

(here and below, if $`\zeta ^k`$, then $`\zeta `$ is a column vector, $`\zeta ^{}=(\zeta _1,\mathrm{},\zeta _k),`$ and $`|\zeta |^2=\zeta ^{}\zeta `$). If the function $`h`$ is bounded, then the measures $``$ and $`\stackrel{~}{}`$ are equivalent. The expectation with respect to the measure $`\stackrel{~}{}`$ will be denoted by $`\stackrel{~}{𝔼}`$.

The following properties of the measure $`\stackrel{~}{}`$ are well known :

1. Under the measure $`\stackrel{~}{}`$, the distributions of the Wiener process $`W`$ and the random variable $`X_0`$ are unchanged, the observation process $`Y`$ is a standard Wiener process, and the state process $`X`$ satisfies

$$\begin{array}{c}dX(t)=b(X(t))dt+\sigma (X(t))dW(t)+\rho (X(t))\left(dY(t)h(X(t))dt\right),0<tT;\hfill \\ X(0)=X_0;\hfill \end{array}$$
2. Under the measure $`\stackrel{~}{},`$ the Wiener processes $`W`$ and $`Y`$ and the random variable $`X_0`$ are independent of one another;
3. The optimal filter $`\widehat{f}_t`$ satisfies

(4.2)
$$\widehat{f}_t=\frac{\stackrel{~}{𝔼}\left[f(X(t))Z_t|_t^Y\right]}{\stackrel{~}{𝔼}[Z_t|_t^Y]}.$$

Because of property P2 of the measure $`\stackrel{~}{}`$ the filtering problem will be studied on the probability space $`(\mathrm{\Omega },,\stackrel{~}{})`$. If the function $`h`$ is bounded, then there is a continuous embedding

(4.3)
$$L_2(\mathrm{\Omega },\stackrel{~}{})L_1(\mathrm{\Omega },).$$

Indeed, if $`\xi L_2(\mathrm{\Omega },\stackrel{~}{})`$, then

$$𝔼\xi =\stackrel{~}{𝔼}(Z_T\xi )\sqrt{\stackrel{~}{𝔼}Z_T^2}\sqrt{\stackrel{~}{𝔼}\xi ^2}C\sqrt{\stackrel{~}{𝔼}\xi ^2},$$

because

$$\begin{array}{ccc}\stackrel{~}{𝔼}Z_T^2\hfill & =\hfill & \stackrel{~}{𝔼}\left(\mathrm{exp}\left\{_0^T|h(X(t))|^2𝑑t\right\}\mathrm{exp}\left\{2_0^Th^{}(X(t))𝑑Y(t)2_0^T|h(X(t))|^2𝑑t\right\}\right)\hfill \\ & \hfill & C\stackrel{~}{𝔼}\mathrm{exp}\left\{2_0^Th^{}(X(t))𝑑Y(t)2_0^T|h(X(t))|^2𝑑t\right\}C\hfill \end{array}$$

where the last inequality follows from the property P2 of $`\stackrel{~}{}`$ and Proposition 3.5.12 in .

Next, consider the partial differential operators

$$g(x)=\frac{1}{2}\underset{i,j=1}{\overset{d}{}}\left((\sigma (x)\sigma ^{}(x))_{ij}+(\rho (x)\rho ^{}(x))_{ij}\right)\frac{^2g(x)}{x_ix_j}+\underset{i=1}{\overset{d}{}}b_i(x)\frac{g(x)}{x_i};$$

$$_lg(x)=h_l(x)g(x)+\underset{i=1}{\overset{d}{}}\rho _{il}(x)\frac{g(x)}{x_i},l=1,\mathrm{},r;$$

and their adjoints

$$^{}g(x)=\frac{1}{2}\underset{i,j=1}{\overset{d}{}}\frac{^2}{x_ix_j}\left((\sigma (x)\sigma ^{}(x))_{ij}g(x)+(\rho (x)\rho ^{}(x))_{ij}g(x)\right)\underset{i=1}{\overset{d}{}}\frac{}{x_i}\left(b_i(x)g(x)\right);$$

$$_l^{}g(x)=h_l(x)g(x)\underset{i=1}{\overset{d}{}}\frac{}{x_i}\left(\rho _{il}(x)g(x)\right),l=1,\mathrm{},r.$$

Let $`𝐇^a`$ be the Sobolev space $`\{f:(1+|w|^2)^{a/2}\widehat{f}L_2(^d)\}`$, where $`\widehat{f}=\widehat{f}(w)`$ is the Fourier transform of $`f`$; $`𝐇^0=L_2(^d)`$ with the norm $`_0`$. The inner product in $`L_2(^d)`$ and the duality between $`𝐇^1`$ and $`𝐇^1`$ will be denoted by $`(,)_0.`$ Note that the operators $`,^{}`$ are bounded from $`𝐇^1`$ to $`𝐇^1`$, operators $`,^{}`$ are bounded from $`𝐇^1`$ to $`L_2(^d)`$, and, for every $`g𝐇^1`$,

(4.4)
$$2(^{}g,g)_0+\underset{l=1}{\overset{r}{}}_l^{}g_0^2Cg_0^2.$$

The following result is well known \[22, Theorem 6.2.1\].

4.1. Proposition.  In addition to Assumption R1 suppose that the initial density $`p_0`$ belongs to the space $`𝐇^1`$. Then there is a random field $`p=p(t,x),t[0,T],x^d,`$ with the following properties:

1. $`pL_2(\mathrm{\Omega }\times (0,T),d\stackrel{~}{}\times dt;𝐇^1)L_2(\mathrm{\Omega },\stackrel{~}{};𝐂([0,T],L_2(^d))).`$

2. The function $`p(t,x)`$ is a generalized solution of the stochastic partial differential equation

(4.5)
$$\begin{array}{cc}dp(t,x)\hfill & =^{}p(t,x)dt+\underset{l=1}{\overset{r}{}}_l^{}p(t,x)dY_l(t),0<tT,x^d;\hfill \\ p(0,x)\hfill & =p_0(x).\hfill \end{array}$$

3. The equality

(4.6)
$$\stackrel{~}{𝔼}\left[f(X(t))Z_t|_t^Y\right]=_^df(x)p(t,x)𝑑x$$

holds for all bounded measurable functions $`f`$.

The random field $`p=p(t,x)`$ is called the unnormalized filtering density (UFD) and the random variable $`\varphi _t[f]=\stackrel{~}{𝔼}\left[f(X(t))Z_t|_t^Y\right]`$, the unnormalized optimal filter. Under Assumption R1, equation (4.5) is at least dissipative. If the matrix $`\sigma \sigma ^{}`$ is uniformly positive definite, then equation (4.5) is coercive rather than dissipative, and it is enough to assume that $`p_0L_2(^d)`$.

## 5. Approximation of the optimal filter

Let $`\{e_i,i1\}`$ be an orthonormal basis in $`L_2(^d)`$ so that every $`e_i`$ belongs to $`𝐇^1`$. Fix a positive integer number $`K`$. Define the matrices $`A^K=(A_{ij}^K,i,j=1,\mathrm{},K)`$ and $`B_l^K=(B_{l,ij}^K,i,j=1,\mathrm{},K;l=1,\mathrm{},r),`$ by

$$A_{ij}^K=(^{}e_j,e_i)_0,B_{l,ij}^K=(_l^{}e_j,e_i)_0.$$

Since $`e_i𝐇^1`$ for all $`i`$, the matrices are well defined. The Galerkin approximation $`p^K(t,x)`$ of $`p(t,x)`$ is given by

(5.1)
$$p^K(t,x)=\underset{i=1}{\overset{K}{}}p_i^K(t)e_i(x),$$

where the vector $`p^K(t)=\{p_i^K(t),i=1,\mathrm{},K\}`$ is the solution of the system of stochastic ordinary differential equations

(5.2)
$$dp^K(t)=A^Kp^K(t)dt+\underset{l=1}{\overset{r}{}}B_l^Kp^K(t)dY_l(t)$$

with the initial condition $`p_i^K(0)=(p_0,e_i)_0.`$ Note that the matrices $`B_l^K,l=1,\mathrm{},r,`$ do not, in general, commute with each other even if $`\rho (x)0`$.

We next use Theorem 3 to derive the Cameron-Martin version of the Wiener chaos expansion of the solution of (5.2).

Let $`0=t_0<t_1\mathrm{}<t_M=T`$ be a uniform (for simplicity) partition of the interval $`[0,T]`$ with step $`\mathrm{\Delta }`$ and let $`\{m_k(t),k1\}`$ be an orthonormal basis in $`L_2([0,\mathrm{\Delta }])`$. Denote by $`J`$ the set of all multi-indices $`\alpha =\{\alpha _k^l,l=1,\mathrm{},r,k1,\alpha _k^l=0,1,2,\mathrm{}\}`$ so that $`|\alpha |=_{l,k}\alpha _k^l<\mathrm{}`$.

Define random variables

(5.3)
$$\xi _{k,l}^i=_{t_{i1}}^{t_i}m_k(st_{i1})𝑑Y_l(s),$$

and then, for $`\alpha J`$,

(5.4)
$$\xi _\alpha ^i=\frac{1}{\sqrt{\alpha !}}\underset{k,l}{}H_{\alpha _k^l}(\xi _{k,l}^i),$$

where $`H_n(t)=(1)^ne^{t^2/2}{\displaystyle \frac{d^n}{dt^n}}e^{t^2/2}`$.

The following result is a direct consequence of Theorem 3.

5.1. Theorem.  For every $`i=1,\mathrm{},M`$, the solution of (5.2) can be written in $`L_2(\mathrm{\Omega };^K)`$ as

(5.5)
$$p^K(t_i)=\underset{\alpha J}{}\frac{1}{\sqrt{\alpha !}}\phi _\alpha ^K(\mathrm{\Delta };p^K(t_{i1}))\xi _\alpha ^i,i=1,\mathrm{},M,$$

where, for $`s(0,\mathrm{\Delta }]`$ and $`\zeta ^K`$, the functions $`\phi _\alpha ^K(s;\zeta )`$ are the solutions of

(5.6)
$$\begin{array}{ccc}\frac{\phi _\alpha ^K(s;\zeta )}{s}\hfill & =A^K\phi _\alpha ^K(s;\zeta )+\underset{k,l}{}\alpha _k^lm_k(s)B_l^K\phi _{\alpha (k,l)}^K(s;\zeta ),0<s\mathrm{\Delta },\hfill & \\ \phi _\alpha ^K(0;\zeta )\hfill & =\zeta 1_{\{|\alpha |=0\}},\hfill & \end{array}$$

and $`\alpha (i,j)`$ stands for the multi-index $`\stackrel{~}{\alpha }=(\stackrel{~}{\alpha }_k^l)_{1lr,k1}`$ with

(5.7)
$$\stackrel{~}{\alpha }_k^l=\{\begin{array}{cc}\alpha _k^l\hfill & \mathrm{if}ki\mathrm{or}lj\mathrm{or}\mathrm{both}\hfill \\ \mathrm{max}(0,\alpha _i^j1)\hfill & \mathrm{if}k=i\mathrm{and}l=j.\hfill \end{array}$$

For fixed positive integers $`N`$ and $`n`$ define the set $`J_N^n`$ as the collection of multi-indices $`\alpha `$ from $`J`$ such that $`|\alpha |N`$ and $`\alpha _k^l=0`$ if $`k>n`$. The approximation $`p_N^{K,n}(t_i)`$ of $`p^K(t_i)`$ is defined by

(5.8)
$$p_N^{K,n}(t_0)=p^K(0),p_N^{K,n}(t_i)=\underset{\alpha J_N^n}{}\frac{1}{\sqrt{\alpha !}}\phi _\alpha ^K(\mathrm{\Delta };p_N^{K,n}(t_{i1}))\xi _\alpha ^i,i=1,\mathrm{},M.$$

Note the $`p_N^{K,n}(t_i)`$ is a vector in $`^K`$. Let $`𝐔=\{𝐮^j,j=1,\mathrm{},K\}`$ be a basis in $`^K`$. The vector $`p_N^{K,n}(t_i)`$ can then be written as

$$p_N^{K,n}(t_i)=\underset{j=1}{\overset{K}{}}p_{N,j}^{K,n}(t_i;𝐔)𝐮^j,$$

and by the recursive definition of $`p_N^{K,n}(t_i)`$,

$$\begin{array}{ccc}p_N^{K,n}(t_{i+1})\hfill & =\hfill & \underset{\alpha J_N^n}{}\phi _\alpha ^K(\mathrm{\Delta };p_N^{K,n}(t_i))\xi _\alpha ^i\hfill \\ & =\hfill & \underset{\alpha J_N^n}{}\underset{j=1}{\overset{K}{}}\phi _\alpha ^K(\mathrm{\Delta };𝐮^j)p_{N,j}^{K,n}(t_i;𝐔)\xi _\alpha ^i.\hfill \end{array}$$

Once again, $`\phi _\alpha ^k(\mathrm{\Delta },𝐮^i)`$ is a vector in $`^K`$, so we write

$$\phi _\alpha ^K(\mathrm{\Delta },𝐮^j)=\underset{k=1}{\overset{K}{}}q_{jk}^{K,\alpha }(𝐔)𝐮^k,$$

and conclude that

(5.9)
$$p_{N,j}^{K,n}(t_{i+1};𝐔)=\underset{\alpha J_N^n}{}\underset{k=1}{\overset{K}{}}q_{jk}^{K,\alpha }(𝐔)p_{N,k}^{K,n}(t_i;𝐔)\xi _\alpha ^i.$$

Then

(5.10)
$$p_N^{K,n}(t_i,x)=\underset{j,k=1}{\overset{K}{}}p_{N,j}^{K,n}(t_{i+1};𝐔)𝐮_k^je_k(x)$$

is an approximation of the unnormalized filtering density.

Suppose that the basis functions $`e_k`$ and the function $`f`$ are such that

(5.11)
$$f_k=_^df(x)e_k(x)𝑑x$$

is defined for every $`k=1,\mathrm{},K`$. It follows from (5.10) that

(5.12)
$$\stackrel{~}{\varphi }_i[f]=\underset{j,k=1}{\overset{K}{}}p_{N,j}^{K,n}(t_{i+1};𝐔)𝐮_k^jf_k$$

is an approximation of the unnormlized optimal filter.

The following is a possible algorithm for computing approximations of the unnormlized filtering density and optimal filter using (5.10) and (5.12).

1. $`\underset{¯}{Preliminarycomputations}`$ (before the observations are available):

1. Choose suitable basis functions $`\{e_k,k=1,\mathrm{},K\}`$ in $`L_2(^d)`$, $`\{m_i,i=1,\mathrm{},n\}`$ in $`L_2([0,\mathrm{\Delta }])`$, and a standard unit basis $`\{𝐮^j,j=1,\mathrm{}K\}`$ in $`^K`$, that is, $`𝐮_i^i=1`$, $`𝐮_i^j=0`$ otherwise.
2. for $`\alpha J_N^n`$ and $`j,k=1,\mathrm{},K`$ compute

$$q_{jk}^{K,\alpha }=\phi _{\alpha ,j}^K(\mathrm{\Delta };𝐮^k)(\mathrm{using}(\text{5.6})),f_k=_^df(x)e_k(x)𝑑x,p_{N,k}^{K,n}(t_0)=_^dp_0(x)e_k(x)𝑑x;$$

2. $`\underset{¯}{Realtimecomputations,ithstep}`$ (as the observations become available): compute $`\xi _\alpha ^i`$, $`\alpha J_N^n`$ (according to (5.3) and (5.4));

$$Q_{jk}^K(\xi ^i)=\underset{\alpha J_N^n}{}q_{jk}^{K,\alpha }\xi _\alpha ^i;$$

(5.13)
$$p_{N,j}^{K,n}(t_i)=\underset{k=1}{\overset{K}{}}Q_{jk}^K(\xi ^i)p_{N,k}^{K,n}(t_{i1}),j=1,\mathrm{},K;$$

then, if necessary, compute

(5.14)
$$p_N^{K,n}(t_i,x)=\underset{j=1}{\overset{K}{}}p_{N,j}^{K,n}(t_i)e_j(x),$$

(5.15)
$$\stackrel{~}{\varphi }_{t_i}[f]=\underset{j=1}{\overset{K}{}}f_jp_{N,j}^{K,n}(t_i),$$

and

(5.16)
$$\stackrel{~}{f}_{t_i}=\frac{\stackrel{~}{\varphi }_{t_i}[f]}{\stackrel{~}{\varphi }_{t_i}[1]}.$$

5.2. Remark.  The main advantage of the above algorithm as compared to most other schemes for solving the Zakai equation is that the time consuming computations, including solving partial differential equations and computing integrals, are performed in advance, while the real-time part is relatively simple even when the dimension $`d`$ of the state process is large. Here are some other features of the algorithm:

1. The overall amount of preliminary computations does not depend on the number of the on-line time steps;
2. Formulas (5.15) and (5.16) can be used to compute an approximation to $`\widehat{f}_{t_i},`$ for example, conditional moments, without the time consuming computations of $`p_N^{\kappa ,n}(t_i,x)`$ and the related integrals;
3. Only the coefficients $`p_{N,j}^{K,n}(t_i)`$ must be computed at every time step while the approximate filter $`\stackrel{~}{f}_{t_i}`$ and/or UFD $`p_N^{K,n}(t_i,x)`$ can be computed as needed, for example, at the final time moment.
4. The real-time part of the algorithm can be easily parallelized.
5. Even though the coefficients $`q_{jk}^{K,\alpha }`$ are computed according to (5.6), their values can be further adjusted by simulating the state and observation processes and computing the corresponding filter estimates.
6. If $`n=1`$, then each $`\xi _\alpha ^i`$ depends only on the increments $`Y_l(t_i)Y_l(t_{i1})`$ of the observation process. For $`n>1`$ and $`k>1`$, the integral $`{\displaystyle _{t_{i1}}^{t_i}}m_k(st_{i1})𝑑Y_l(s)`$ can be reduced to a usual Riemann integral and then approximated by the trapezoidal rule.

## 6. Rate of convergence

To study the convergence of the algorithm, it is necessary to specify the bases $`\{e_k,k1\}`$ on $`^d`$ and $`\{m_i,i1\}`$ on $`[0,\mathrm{\Delta }]`$.

Let $`\{e_k,k1\}`$ be the Hermite basis in $`L_2(^d)`$. The basis can be described as follows. Denote by $`\mathrm{\Gamma }`$ the set of ordered $`d`$-tuples $`\gamma =(\gamma _1,\mathrm{},\gamma _d)`$ with $`\gamma _j=0,1,2,\mathrm{}`$. For $`\gamma \mathrm{\Gamma }`$ define

$$_\gamma (x)=\underset{j=1}{\overset{d}{}}_{\gamma _j}(x_j),$$

where

$$_k(t)=\frac{(1)^n}{\sqrt{2^n\pi ^{1/2}n!}}e^{t^2}\frac{d^n}{dt^n}e^{t^2}$$

With this definition, $`_\gamma `$ is the eigenfunction of the self-adjoint operator $`\mathrm{\Lambda }=^2+(1+|x|^2)`$:

$$\mathrm{\Lambda }_\gamma =\lambda _\gamma e_\gamma ,$$

where $`^2`$ is the Laplace operator and $`\lambda _\gamma =(2|\gamma |+d+1)`$.

To define an ordering of the set $`\mathrm{\Gamma }`$, we define $`|\gamma |=_{j=1}^d\gamma _j`$ and then say that $`\gamma <\tau `$ if $`|\gamma |<|\tau |`$ or if $`|\gamma |=|\tau |`$ and $`\gamma <\tau `$ under the lexicographic ordering, that is, $`\gamma _{i_0}<\tau _{i_0}`$, where $`i_0`$ is the first index for which $`\gamma _i\tau _i`$. The basis $`\{e_k\}_{k1}`$ is then the set $`\{_\gamma (x),\gamma \mathrm{\Gamma }\}`$ together with the above ordering of the set $`\mathrm{\Gamma }`$ so that $`\mathrm{\Lambda }e_k=\lambda _ke_k`$ and $`\lambda _kk^{1/d}.`$

Next, we define an orthonormal basis $`\{m_k\}`$ in $`L_2([0,\mathrm{\Delta }])`$ by

$$m_1(s)=\frac{1}{\sqrt{\mathrm{\Delta }}};m_k(s)=\sqrt{\frac{2}{\mathrm{\Delta }}}\mathrm{cos}\left(\frac{\pi (k1)s}{\mathrm{\Delta }}\right),k>1;0s\mathrm{\Delta }.$$

6.1. Definition.  The filtering model (4.1) is called $`\nu `$-regular for some positive integer $`\nu `$ if the functions $`\sigma `$ and $`\rho `$ belong to $`𝐂_b^{2\nu +3}`$, the functions $`b`$ and $`h`$ belong to $`𝐂_b^{2\nu +2}`$, and $`\mathrm{\Lambda }^\nu p_0𝐇^1`$.

6.2. Theorem.  If the filtering model (4.1) is $`\nu `$-regular, in the sense of Definition 6, for some $`\nu >d+1`$ and

$$C_\rho =\underset{i,l}{\mathrm{max}}\underset{x^d}{sup}|\rho _{il}(x)|^2,$$

then

(6.1)
$$\begin{array}{c}\underset{0iM}{\mathrm{max}}\stackrel{~}{𝔼}p(t_i,)p_N^{K,n}(t_i,)_0^2\frac{C(\nu ,T)}{K^{2(\nu d1)/d}}\hfill \\ +\left(C\frac{(1+C_\rho K^{1/d})\mathrm{\Delta }+(K^{2/d}+C_\rho K^{3/d})\mathrm{\Delta }^2}{n}+\frac{(C(1+C_\rho K^{1/d}))^{N+1}\mathrm{\Delta }^N}{(N+1)!}\right)e^{C(1+C_\rho K^{1/d})T}.\hfill \end{array}$$

The number $`C(\nu ,T)`$ depends on $`\nu ,T`$, and the parameters of the model (coefficients of the equations (4.1)). The number $`C`$ depends only on the parameters of the model.

If, in addition, $`(1+|x|^2)^wfL_2(^d)`$ for some $`w0`$ so that $`\nu >d+1+w`$ and
$`\mathrm{\Lambda }^\nu ((1+|x|^2)^wp_0)𝐇^1`$, then

(6.2)
$$\begin{array}{c}\underset{0iM}{\mathrm{max}}\stackrel{~}{𝔼}|\varphi _{t_i}[f]\stackrel{~}{\varphi }_{t_i}[f]|^2\frac{C(\nu ,T,w)C_f}{K^{2(\nu wd1)/d}}\hfill \\ +C_f\left(C\frac{(1+C_\rho K^{1/d})\mathrm{\Delta }+(K^{2/d}+C_\rho K^{3/d})\mathrm{\Delta }^2}{n}+\frac{(C(1+C_\rho K^{1/d}))^{N+1}\mathrm{\Delta }^N}{(N+1)!}\right)e^{C(1+C_\rho K^{1/d})T}.\hfill \end{array}$$

The number $`C(\nu ,T,w)`$ depends on $`\nu ,T,w`$, and the parameters of the model; the number $`C`$ depends only on $`w`$ and the parameters of the model; $`C_f=_^d(1+|x|^2)^{2w}|f(x)|^2𝑑x.`$

Proof. By Theorem 2,

(6.3)
$$\stackrel{~}{𝔼}p(t_i,)p^K(t_i,)_0^2\frac{C(\nu ,T)}{K^{2(\nu d1)/d}}.$$

Indeed, by Theorem 4.3.2 in , $`sup_{0<t<T}\stackrel{~}{𝔼}\mathrm{\Lambda }^\nu p(t,)_0^2e^{CT}\mathrm{\Lambda }^\nu p_0_0^2`$, where $`C`$ depends only on $`\nu `$ and the parameters of the model. Also, in the notations of Theorem 2, $`\theta =1/d`$, $`q=1/(2d)`$, and $`\theta _1=(\nu 1)/d`$.

To simplify the further presentation, set $`\kappa =K^{1/d}`$ and define $`C_\kappa =1+C_\rho \kappa `$. Then, to prove (6.1), it remains to show that

$$\stackrel{~}{𝔼}|p^K(t_i)p_N^{K,n}(t_i)|^2\left(C\frac{C_\kappa \mathrm{\Delta }+\kappa ^2C_\kappa \mathrm{\Delta }^2}{n}+\frac{(CC_\kappa )^{N+1}\mathrm{\Delta }^N}{(N+1)!}\right)e^{CC_\kappa T},$$

and by Theorem 3 this inequality holds if, for every vector $`\zeta ^K`$,

(6.4)
$$|A^K\zeta |^2C\kappa ^2|\zeta |^2,|B_l^K\zeta |^2CC_\kappa |\zeta |^2,|e^{tA^K}\zeta |^2e^{Ct}|\zeta |^2.$$

Because of the multi-step approximation, we, as usual, loose one power of $`\mathrm{\Delta }`$ in (3.12). Inequalities (6.4) are verified by direct calculations using that the operators $`\mathrm{\Lambda }^1`$ and $`\mathrm{\Lambda }^{1/2}_l`$ are bounded in $`L_2(^d)`$.

To prove (6.2), let $`\beta (x)=\sqrt{1+|x|^2}`$ and, for $`w`$, define the space $`L_{2,w}(^d)=\{f:f\beta ^wL_2(^d)\}.`$ Clearly, $`L_{2,w}(^d)`$ is a Hilbert space with inner product $`(f,g)_{0,w}=(f\beta ^w,g\beta ^w)_0`$ and norm $`f_{0,w}^2=(f,f)_{0,w}`$. Then

(6.5)
$$|\varphi _{t_i}[f]\stackrel{~}{\varphi }_{t_i}[f]|^2C_fp(t_i,)p_N^{K,n}(t_i,)_{0,2w}^2.$$

Using the calculus of pseudo-differential operators \[23, Chapter 4\], we conclude that, for every $`gL_{2,2w}(^d)`$,

(6.6)
$$g_{0,2w}=\beta ^{2w}g_0C\mathrm{\Lambda }^w\beta ^{2w}\mathrm{\Lambda }^wg_0C\mathrm{\Lambda }^wg_0.$$

Therefore, by Theorem 2 and Theorem 4.3.2 in ,

(6.7)
$$\stackrel{~}{𝔼}p(t_i,)p^K(t_i,)_{0,2w}^2\frac{C(\nu ,T)}{K^{2(\nu wd1)/d}}.$$

Next, (6.6) implies

$$\stackrel{~}{𝔼}p^K(t_i,)p_N^{K,n}(t_i,)_{0,2w}^2C\underset{k=1}{\overset{K}{}}\lambda _k^{2w}\stackrel{~}{𝔼}|p_k^K(t_i)p_{N,k}^{K,n}(t_i)|^2.$$

Define the diagonal matrix $`\widehat{\mathrm{\Lambda }}=(\widehat{\mathrm{\Lambda }}_{ij})_{i,j=1,\mathrm{},K}`$ by $`\widehat{\mathrm{\Lambda }}_{ii}=\lambda _i^w`$. Then define the matrices

$$\widehat{A}^K=\widehat{\mathrm{\Lambda }}A^K\widehat{\mathrm{\Lambda }}^1,\widehat{B}_l^K=\widehat{\mathrm{\Lambda }}B_l^K\widehat{\mathrm{\Lambda }}^1,$$

and the vectors $`\widehat{p}(t)=\widehat{\mathrm{\Lambda }}p^K(t),\widehat{p}_N^n(t_i)=\widehat{\mathrm{\Lambda }}p_N^{K,n}(t_i)`$. With these definitions, the vector $`\widehat{p}^K(t)`$ is the solution of

$$d\widehat{p}^K(t)=\widehat{A}^K\widehat{p}^K(t)dt+\underset{l=1}{\overset{r}{}}\widehat{B}_l^K\widehat{p}(t)dY_l(t)$$

with the initial condition $`\widehat{p}_k^K(0)=\lambda _k^w(p_0,e_k)_0,`$ the vector $`\widehat{p}_N^{K,n}(t)`$ satisfies

$$\widehat{p}_N^{K,n}(t_0)=\widehat{p}^K(0),\widehat{p}_N^{K,n}(t_i)=\underset{\alpha J_N^n}{}\frac{1}{\sqrt{\alpha !}}\widehat{\phi }_\alpha ^K(\mathrm{\Delta };\widehat{p}_N^{K,n}(t_{i1}))\xi _\alpha ^i,i=1,\mathrm{},M,$$

and

(6.8)
$$\stackrel{~}{𝔼}p^K(t_i,)p_N^{K,n}(t_i,)_{0,w}^2C\stackrel{~}{𝔼}|\widehat{p}^K(t_i)\widehat{p}_N^{K,n}(t_i)|^2.$$

The functions $`\widehat{\phi }_\alpha ^K`$ satisfy the equations (5.6) with $`\widehat{A}^K`$ and $`\widehat{B}_l^K`$ instead of $`A^K`$ and $`B^K`$.

Direct computations show that, for all $`\zeta ^K`$,

(6.9)
$$|\widehat{A}^K\zeta |^2C\kappa ^2|\zeta |^2,|\widehat{}_l^K\zeta |^2CC_\kappa |\zeta |^2,|e^{t\widehat{A}^K}\zeta |^2e^{Ct}|\zeta |^2,$$

with $`C`$ depending on $`w`$ and the parameters of the filtering model. By Theorem 3 we then conclude that

$$\stackrel{~}{𝔼}|\widehat{p}^K(t_i)\widehat{p}_N^{K,n}(t_i)|^2\left(C\frac{C_\kappa \mathrm{\Delta }+\kappa ^2C_\kappa \mathrm{\Delta }^2}{n}+\frac{(CC_\kappa )^{N+1}\mathrm{\Delta }^N}{(N+1)!}\right)e^{CC_\kappa T}.$$

Together with (6.5), (6.6), and (6.8), the last inequality implies (6.2).

Theorem 6 is proved. $`\mathrm{}`$

## 7. Proof of Theorem 3

The proof requires an explicit formula for the solution of (3.6). We begin with some auxiliary constructions.

Every multi-index $`\alpha `$ with $`|\alpha |=k`$ can be identified with the set $`K_\alpha =\{(i_1^\alpha ,q_1^\alpha ),\mathrm{},(i_k^\alpha ,q_k^\alpha )\}`$ so that $`i_1^\alpha i_2^\alpha \mathrm{}i_k^\alpha `$ and if $`i_j^\alpha =i_{j+1}^\alpha `$, then $`q_j^\alpha q_{j+1}^\alpha `$. The first pair $`(i_1^\alpha ,q_1^\alpha )`$ in $`K_\alpha `$ is the position numbers of the first nonzero element of $`\alpha `$. The second pair is the same as the first if the first nonzero element of $`\alpha `$ is greater than one; otherwise, the second pair is the position numbers of the second nonzero element of $`\alpha `$ and so on. As a result, if $`\alpha _j^q>0`$, then exactly $`\alpha _j^q`$ pairs in $`K_\alpha `$ are $`(j,q)`$. The set $`K_\alpha `$ will be referred to as the characteristic set of the multi-index $`\alpha `$. For example, if $`r=2`$ and

$$\alpha =\left(\begin{array}{cccccccc}0\hfill & 1\hfill & 0\hfill & 2\hfill & 3\hfill & 0\hfill & 0\hfill & \mathrm{}\hfill \\ 1\hfill & 2\hfill & 0\hfill & 0\hfill & 0\hfill & 1\hfill & 0\hfill & \mathrm{}\hfill \end{array}\right),$$

then the nonzero elements are $`\alpha _1^2=\alpha _2^1=\alpha _1^6=1,\alpha _2^2=\alpha _4^1=2,\alpha _5^1=3,`$ and the
characteristic set is $`K_\alpha =\{(1,2),(2,1),(2,2),(2,2),(4,1),(4,1),(5,1),(5,1),(5,1),(6,2)\}`$. In the future, when there is no danger of confusion, the superscript $`\alpha `$ in $`i`$ and $`q`$ will be omitted so that $`(i_j,q_j)`$ will be written instead of $`(i_j^\alpha ,q_j^\alpha )`$.

Let $`𝒫^k`$ be the permutation group of the set $`\{1,\mathrm{},k\}`$. For a given $`\alpha J`$ with $`|\alpha |=k`$ and the characteristic set $`\{(i_1,q_1),\mathrm{},(i_k,q_k)\}`$ define

$$E_\alpha (s^k;l^k):=\underset{\sigma 𝒫^k}{}m_{i_1}(s_{\sigma (1)})1_{\{l_{\sigma (1)}=q_1\}}\mathrm{}m_{i_k}(s_{\sigma (k)})1_{\{l_{\sigma (k)}=q_k\}}.$$

The following notations are introduced to simplify the further presentation:

* $`s^k`$, the ordered set $`(s_1,\mathrm{},s_k)`$; $`ds^k:=ds_1\mathrm{}ds_k`$;
* $`l^k`$, the ordered set $`(l_1,\mathrm{},l_k)`$;
* $`\mathrm{\Phi }_t=e^{At}`$;
* $`F(t;s^k;l^k;g):=\mathrm{\Phi }_{ts_k}B_{l_k}\mathrm{\Phi }_{s_ks_{k1}}\mathrm{}B_{l_1}\mathrm{\Phi }_{s_1T_0}g,k1;`$
* $`{\displaystyle _{T_0}^{(k,t)}}(\mathrm{})𝑑s^k:={\displaystyle _{T_0}^t}{\displaystyle _{T_0}^{s_k}}\mathrm{}{\displaystyle _{T_0}^{s_2}}(\mathrm{})𝑑s_1\mathrm{}𝑑s_k`$;
* $`{\displaystyle \underset{l^k}{}}:={\displaystyle \underset{l_1,\mathrm{},l_k=1}{\overset{r}{}}}`$.

Note that

(7.1)
$$|F(t;s^k;l^k;g)|^2C_2^ke^{C_1(tT_0)}|g|^2,_{T_0}^{(k,t)}𝑑s^k=\frac{(tT_0)^k}{k!},\underset{l^k}{}1=r^k.$$

7.1. Proposition.  If $`\alpha J`$ is a multi-index with $`|\alpha |=k`$ and the characteristic set $`\{(i_1,q_1),\mathrm{},(i_k,q_k)\}`$, then, for $`t[T_0,t^{}]`$, the corresponding solution $`\phi _\alpha (t;T_0;U_0)`$ of (3.6) is given by

(7.2)
$$\begin{array}{c}\phi _\alpha (t;T_0;U_0)=\hfill \\ \underset{\sigma 𝒫^k}{}\underset{l^k}{}\underset{T_0}{\overset{(k,t)}{}}F^k(t;s^k;l^k;U_0)m_{i_{\sigma (k)}}(s_k)1_{\{l_k=q_{\sigma (k)}\}}\mathrm{}m_{i_{\sigma (1)}}(s_1)1_{\{l_1=q_{\sigma (1)}\}}𝑑s^k,k>1;\hfill \\ \phi _\alpha (t;T_0;U_0)=_{T_0}^t\mathrm{\Phi }_{ts_1}B_{q_1}\mathrm{\Phi }_{s_1T_0}U_0m_{i_1}(s_1)𝑑s_1,k=1;\hfill \\ \phi _\alpha (t;T_0;U_0)=\mathrm{\Phi }_{tT_0}U_0,k=0,\hfill \end{array}$$

and

(7.3)
$$\underset{|\alpha |=k}{}\frac{|\phi _\alpha (t;T_0;U_0)|^2}{\alpha !}=\underset{l^k}{}_{T_0}^{(k,t)}|F(t;s^k;l^k;U_0)|^2𝑑s^k.$$

Proof. To simplify the notations, the arguments $`T_0`$ and $`U_0`$ will be omitted wherever possible. Representation (7.2) is obviously true for $`|\alpha |=0`$. Then the general case $`|\alpha |1`$ follows by induction from the variation of parameters formula.

To prove (7.3), first of all note that

$$\begin{array}{c}\underset{\sigma 𝒫^k}{}m_{i_{\sigma (k)}}(s_k)1_{\{l_k=q_{\sigma (k)}\}}\mathrm{}m_{i_{\sigma (1)}}(s_1)1_{\{l_1=q_{\sigma (1)}\}}\hfill \\ =\underset{\sigma 𝒫^k}{}m_{i_k}(s_{\sigma (k)})1_{\{l_{\sigma (k)}=q_k\}}\mathrm{}m_{i_1}(s_{\sigma (1)})1_{\{l_{\sigma (1)}=q_1\}}.\hfill \end{array}$$

Indeed, every term on the left corresponding to a given $`\sigma _0𝒫^k`$ coincides with the term on the right corresponding to $`\sigma _0^1𝒫^k`$.

Then (7.2) can be written as $`\phi _\alpha (t)=_{l^k}_{T_0}^{(k,t)}F(t;s^k;l^k)E_\alpha (s^k;l^k)𝑑s^k.`$ Using the notation

$$G(t;s^k;l^k):=\underset{\sigma 𝒫^k}{}\mathrm{\Phi }_{ts_{\sigma (k)}}B_{l_{\sigma (k)}}\mathrm{}\mathrm{\Phi }_{s_{\sigma (2)}s_{\sigma (1)}}B_{l_{\sigma (1)}}\mathrm{\Phi }_{s_{\sigma (1)}T_0}g1_{s_{\sigma (1)}<\mathrm{}<s_{\sigma (k)}<t},$$

it can be rewritten as

(7.4)
$$\phi _\alpha (t)=\frac{1}{k!}\underset{l^k}{}\underset{[T_0,t^{}]^k}{}G(t;s^k;l^k)E_\alpha (s^k;l^k)𝑑s^k.$$

Since for every $`t[T_0,t^{}]`$ the function $`G(t;s^k;l^k)`$ is symmetric,

$$G(t;s^k;l^k)=\underset{|\beta |=k}{}\frac{c_\beta (t)E_\beta (s^k;l^k)}{\sqrt{\beta !k!}}$$

with some vector coefficients $`c_\beta (t)`$. This and (7.4) imply $`|\phi _\alpha (t)|^2/\alpha !=|c_\alpha |^2/k!`$ and so

$$\begin{array}{c}\underset{|\alpha |=k}{}\frac{|\phi _\alpha (t)|^2}{\alpha !}=\frac{1}{k!}\underset{|\alpha |=k}{}|c_\alpha (t)|^2=\frac{1}{k!}\underset{[T_0,t^{}]^k}{}|G(t;s^k;l^k)|^2𝑑s^k\\ =\frac{1}{k!}\underset{l^k}{}\underset{[T_0,t^{}]^k}{}|\underset{\sigma 𝒫^k}{}\mathrm{\Phi }_{ts_{\sigma (k)}}B_{l_{\sigma (k)}}\mathrm{}\mathrm{\Phi }_{s_{\sigma (2)}s_{\sigma (1)}}B_{l_{\sigma (1)}}\mathrm{\Phi }_{s_{\sigma (1)}T_0}g1_{s_{\sigma (1)}<\mathrm{}<s_{\sigma (k)}<t}|^2𝑑s^k\\ =\underset{l^k}{}_{T_0}^{(k,t)}|F(t;s^k;l^k)|^2𝑑s^k,\end{array}$$

which proves (7.3). Proposition 7 is proved. $`\mathrm{}`$

We continue by considering the truncation only of the length of $`\alpha `$. Define $`J_N=\{\alpha J:|\alpha |N\}`$ and

(7.5)
$$U^N(s;T_0;U_0)=\underset{\alpha J_N}{}\frac{1}{\sqrt{\alpha !}}\phi _\alpha (s;T_0;U_0)\xi _\alpha (W_{T_0,t^{}}).$$

Note that the summation in (7.5) is still infinite.

7.2. Proposition.  In the notations of Theorem 3,

(7.6)
$$\underset{s[T_0,t^{}]}{sup}𝔼|U(s;T_0;U_0)U^N(s;T_0;U_0)|^2\frac{[C_2r(t^{}T_0)]^{N+1}}{(N+1)!}e^{\overline{C}(t^{}T_0)}𝔼|U_0|^2.$$

Proof. To simplify the presentation, the arguments $`T_0`$ and $`U_0`$ will be omitted wherever possible.

By Theorem 7,

(7.7)
$$\underset{|\alpha |=k}{}\frac{|\phi _\alpha (s)|^2}{\alpha !}=\underset{l^k}{}_{T_0}^{(k,s)}|F(s;s^k;l^k)|^2𝑑s^k.$$

Since the random variables $`\xi _\alpha (W_{T_0,t})`$ are uncorrelated and are independent of $`U_0`$, formulas (5.5) and (7.5) imply $`𝔼|U(s)U^N(s)|^2=_{k>N}_{|\alpha |=k}\frac{𝔼|\phi _\alpha (s)|^2}{\alpha !}.`$ By (7.1),

$$\begin{array}{c}\underset{k>N}{}\underset{|\alpha |=k}{}\frac{𝔼|\phi _\alpha (s)|^2}{\alpha !}e^{C_1(sT_0)}𝔼|U_0|^2\underset{k>N}{}\frac{(C_2r(sT_0))^k}{k!}\\ \frac{(C_2r(t^{}T_0))^{N+1}}{(N+1)!}e^{\overline{C}(t^{}T_0)}𝔼|U_0|^2,\end{array}$$

which completes the proof of Proposition 7. $`\mathrm{}`$

Now we truncate the sum in (7.5) even more by restricting $`\alpha `$ to the set $`J_N^n`$.

7.3. Proposition.  In the notations of Theorem 3 and Proposition 7,

(7.8)
$$\begin{array}{ccc}𝔼|U^N(t^{};T_0;U_0)U_N^n(t^{};T_0;U_0)|^2\hfill & \hfill & 2C_2re^{\overline{C}(t^{}T_0)}(ϵ(B)\frac{(t^{}T_0)^2}{n}\hfill \\ & +\hfill & C_0(1+(t^{}T_0)C_2r)\frac{(t^{}T_0)^3}{n})𝔼|U_0|^2.\hfill \end{array}$$

Proof. To simplify the presentation, the arguments $`T_0`$ and $`U_0`$ will be omitted wherever possible.

If $`\alpha `$ is a multi-index with $`|\alpha |=k`$ and the characteristic set $`\{(i_1^\alpha ,q_1^\alpha )\mathrm{},(i_k^\alpha ,q_k^\alpha )\},`$ then $`i_k^\alpha =d(\alpha )`$, the order of $`\alpha `$, and so the set $`J_N^n`$ can be described as $`\{\alpha J:|\alpha |N;i_{|\alpha |}^\alpha n\}`$. Since the random variables $`\xi _\alpha `$ are uncorrelated and are independent of $`U_0`$,

$$𝔼|U_N^n(t^{})U^N(t^{})|^2=\underset{b=n+1}{\overset{\mathrm{}}{}}\underset{k=1}{\overset{N}{}}\underset{|\alpha |=k;i_k^\alpha =b}{}\frac{𝔼|\phi _\alpha (t^{})|^2}{\alpha !}.$$

The problem is thus to estimate $`{\displaystyle \underset{b=n+1}{\overset{\mathrm{}}{}}}{\displaystyle \underset{k=1}{\overset{N}{}}}{\displaystyle \underset{|\alpha |=k;i_k^\alpha =b}{}}{\displaystyle \frac{|\phi _\alpha (t^{})|^2}{\alpha !}}.`$

By Theorem 7 the corresponding solution $`\phi _\alpha `$ of (3.6) can be written as

(7.9)
$$\phi _\alpha (t^{})=\underset{l^k}{}_{T_0}^{(k,t^{})}F(t^{};s^k;l^k)E_\alpha (s^k,l^k)𝑑s^k.$$

According to (3.7), the characteristic set of $`\alpha (i_k,q_k)`$ is $`\{(i_1,q_1),\mathrm{},(i_{k1},q_{k1})\}`$;
therefore, it is possible to write

$$E_\alpha (s^k)=\underset{j=1}{\overset{k}{}}m_{i_k}(s_j)1_{\{l_j=q_k\}}E_{\alpha (i_k,q_k)}(s_j^k;l_j^k),$$

where $`s_j^k`$ (resp. $`l_j^k`$) denotes the same set $`(s_1,\mathrm{},s_k)`$ (resp. $`(l_1,\mathrm{},l_k)`$) with omitted $`s_j`$ (resp. $`l_j`$); for example, $`s_1^k=(s_2,\mathrm{},s_k).`$

As a result, after changing the order of integration in the multiple integral, equality (7.9) can be rewritten as

(7.10)
$$\phi _\alpha (t^{})=\underset{j=1}{\overset{k}{}}\underset{l_j^k}{}\underset{T_0}{\overset{(k1,t^{})}{}}\left(_{s_{j1}}^{s_{j+1}}F(t^{};s^k;l^k)m_{i_k}(s_j)1_{\{l_j=q_k\}}𝑑s_j\right)E_{\alpha (i_k,q_k)}(s_j^k;l_j^k)𝑑s_j^k,$$

where $`s_0:=T_0;s_{k+1}:=t^{}`$.

Denote

$$M_k(s):=\frac{\sqrt{2(t^{}T_0)}}{\pi (k1)}\mathrm{sin}\left(\frac{\pi (k1)(sT_0)}{(t^{}T_0)}\right);k>1,T_0st^{},$$

and $`F_j:={\displaystyle \frac{F(t^{};s^k;l^k)}{s_j}}`$. Then, as long as $`i_k=b>1`$, integration by parts in the inner integral on the right hand side of (7.10) yields:

$$\begin{array}{c}_{s_{j1}}^{s_{j+1}}F(t^{};s^k;l^k)m_b(s_j)𝑑s_j\hfill \\ =F(t^{};s^k;l^k)M_b(s_j)|_{s_j=s_{j1}}^{s_j=s_{j+1}}_{s_{j1}}^{s_{j+1}}F_j(t^{};s^k;l^k)M_b(s_j)𝑑s_j.\hfill \end{array}$$

For each $`j`$, let us rename the remaining variables $`s_j^k`$ in (7.10) as follows: $`t_i:=s_i,ij1;t_i:=s_{i+1},i>j1`$, or, symbolically, $`t^{k1}:=s_j^k`$. We will set $`t_0:=T_0`$, $`t_k:=t^{}`$ and denote by $`t^{k1,j},j=1,\mathrm{},k1,`$ the set $`t^{k1}`$ in which $`t_j`$ is repeated twice (e.g. $`t^{k1,1}=(t_1,t_1,\mathrm{},t_{k1}),\mathrm{etc}.)`$; also $`t^{k1,0}:=(t_0,t_1,t_2,\mathrm{},t_{k1})`$, $`t^{k1,k}:=(t_1,\mathrm{},t_{k1},t_k)`$.

The similar changes will also be made with the set $`l^k`$: for fixed $`j`$, there are $`k1`$ free indices $`l_1,\mathrm{},l_{j1},l_{j+1},\mathrm{},l_k`$ and they are renamed just like $`s^k`$ to form the set $`l^{k1}`$ (in this case, the same symbols are used). Similarly, $`l^{k1,j}`$ denotes the set $`(l_1,\mathrm{},l_{j1},q_k,l_j,\mathrm{},l_{k1}).`$ After these transformations, $`E_{\alpha (i_k,q_k)}(s_j^k;l_j^k)`$ becomes $`E_{\alpha (i_k,q_k)}(t^{k1};l^{k1})`$ \- independent of $`j`$, and

$$\begin{array}{c}F(t^{};s^k;l^k)1_{\{l_j=q_k\}}M_b(s_j)|_{s_j=s_{j1}}^{s_j=s_{j+1}}\hfill \\ =F(t^{};t^{k1,j};l^{k1,j})M_b(t_j)F(t^{};t^{k1,j1};l^{k1,j})M_b(t_{j1}),j=1,\mathrm{},k.\hfill \end{array}$$

Therefore, if $`d(\alpha )=b>1`$ and $`|\alpha |=k>0`$, then

$$\begin{array}{ccc}\phi _\alpha (t^{})\hfill & =\hfill & \underset{l^{k1}}{}\underset{T_0}{\overset{(k1,t^{})}{}}(f_b^{(1)}(t^{};t^{k1};l^{k1})\hfill \\ & +\hfill & f_b^{(2)}(t^{};t^{k1};l^{k1}))E_{\alpha (i_k,q_k)}(t^{k1};l^{k1})dt^{k1},\hfill \end{array}$$

where

$$\begin{array}{ccc}f_b^{(1)}(t^{};t^{k1};l^{k1})\hfill & =\hfill & \underset{j=1}{\overset{k}{}}(F(t^{};t^{k1,j};l^{k1,j})M_b(t_j)\hfill \\ & \hfill & F(t^{};t^{k1,j1};l^{k1,j})M_b(t_{j1}))\mathrm{if}k>1,\hfill \end{array}$$

$`f_b^{(1)}=0`$ if $`k=1`$ – because $`M_b(t_0)=M_b(t_k)=0`$ (this is the only place where the choice of $`\{m_k\}`$ really makes the difference), and

$$\begin{array}{ccc}f_b^{(2)}(t^{};t^{k1};l^{k1})\hfill & =\hfill & _{T_0}^{t_1}F_1(t^{};s,t^{k1};q_k,l^{k1})M_b(s)𝑑s\hfill \\ & \hfill & \underset{j=2}{\overset{k1}{}}_{t_{j1}}^{t_j}F_j(t^{};\mathrm{},t_{j1},s,t_j,\mathrm{};l^{k1,j})M_b(s)𝑑s\hfill \\ & \hfill & _{t_{k1}}^{t_k}F_k(t^{};t^{k1},s;l^{k1},q_k)M_b(s)𝑑s.\hfill \end{array}$$

Note that if the operators $`B_l`$ commute with each other, then $`f_b^{(1)}(t^{};t^{k1};l^{k1})`$ is identically equal to zero for all $`k`$.

Since $`|\alpha (i_{|\alpha |},q_{|\alpha |})|=|\alpha |1`$ and $`\alpha !\alpha (i_{|\alpha |},q_{|\alpha |})!`$, it now follows from (7.10) that

$$\begin{array}{c}\underset{|\alpha |=k;i_k^\alpha =b}{}\frac{|\phi _\alpha (t^{})|^2}{\alpha !}\hfill \\ =\underset{|\alpha |=k;i_k^\alpha =b}{}\underset{q_k=1}{\overset{r}{}}\left|\frac{1}{\sqrt{\alpha !}}\underset{l^{k1}}{}_{T_0}^{(k1,t^{})}(f_b^{(1)}+f_b^{(2)})E_{\alpha (b,q_k)}𝑑t^{k1}\right|^2\hfill \\ \underset{q_k=1}{\overset{r}{}}\underset{|\beta |=k1}{}\left|\frac{1}{\sqrt{\beta !}}\underset{l^{k1}}{}_{T_0}^{(k1,t^{})}(f_b^{(1)}+f_b^{(2)})E_\beta 𝑑t^{k1}\right|^2,\hfill \end{array}$$

and the proof of Proposition 7 shows that the last expression is equal to

(7.11)
$$\underset{q_k=1}{\overset{r}{}}\underset{l^{k1}}{}_{T_0}^{(k1,t^{})}\left|f_b^{(1)}(t^{};t^{k1};l^{k1})+f_b^{(2)}(t^{};t^{k1};l^{k1})\right|^2𝑑t^{k1}.$$

Definition of $`f_b^{(1)}`$ implies

(7.12)
$$|f_b^{(1)}|^2=0,k=1;|f_b^{(1)}|^2\frac{k(C_2)^kϵ(B)(t^{}T_0)}{(b1)^2}e^{C_1(t^{}T_0)}|U_0|^2,k2.$$

Next, direct computations yield

$$\begin{array}{ccc}F_j(t^{};s^k;l^k)\hfill & =\hfill & \mathrm{\Phi }_{t^{}s_k}B_{l_k}\mathrm{}\mathrm{\Phi }_{s_{j+1}s_j}B_{l_j}A\mathrm{\Phi }_{s_js_{j1}}\mathrm{}\mathrm{\Phi }_{s_1T_0}U_0\hfill \\ & \hfill & \mathrm{\Phi }_{t^{}s_k}B_{l_k}\mathrm{}A\mathrm{\Phi }_{s_{j+1}s_j}B_{l_j}\mathrm{\Phi }_{s_js_{j1}}\mathrm{}\mathrm{\Phi }_{s_1T_0}U_0,\hfill \end{array}$$

so that by assumption (3) of the theorem, $`|F_j(t^{};s^k;l^k)|^2C_0(C_2)^ke^{C_1(t^{}T_0)}|U_0|^2.`$

After that the definition of $`f_b^{(2)}`$ implies:

$$\begin{array}{ccc}|f_b^{(2)}|^2\hfill & \hfill & 4C_0k(C_2)^ke^{C_1(t^{}T_0)}|U_0|^2(t^{}T_0)_{T_0}^t^{}(M_b(s))^2𝑑s\hfill \\ & \hfill & \frac{C_0k(C_2)^k(t^{}T_0)^3}{(b1)^2}e^{C_1(t^{}T_0)}|U_0|^2;\hfill \end{array}$$

so, since $`{\displaystyle \underset{T_0}{\overset{(k1,t^{})}{}}}𝑑t^{k1}=(t^{}T_0)^{k1}/(k1)!`$, (7.11), (7.12) and the last inequality yield

$$\begin{array}{c}𝔼|U^N(t^{})U_N^n(t^{})|^2=\underset{bn+1}{}\underset{k=1}{\overset{N}{}}\underset{|\alpha |=k;i_k^\alpha =b}{}\frac{𝔼|\phi _\alpha (t^{})|^2}{\alpha !}\hfill \\ C_2re^{C_1(t^{}T_0)}[ϵ(B)(t^{}T_0^2)\underset{k0}{}\frac{k+2}{k+1}\frac{(C_2r(t^{}T_0))^k}{k!}\hfill \\ +C_0(t^{}T_0)^3\underset{k0}{}\frac{(k+1)(C_2r(t^{}T_0))^k}{k!}]𝔼|U_0|^2_{bn}\frac{1}{b^2}\hfill \\ \frac{2C_2re^{\overline{C}(t^{}T_0)}}{n}\left[ϵ(B)(t^{}T_0)^2+(1+(t^{}T_0)C_2r)C_0(t^{}T_0)^3\right]𝔼|U_0|^2.\hfill \end{array}$$

This completes the proof of Proposition 7. The statement of Theorem 3 now follows from Propositions 7 and 7.

## Acknowledgement

The author is grateful to Professor Boris Rozovskii for very helpful discussions. The work was partially supported by the NSF grant DMS-9972016