Generalized solutions of a stochastic partial differential equation

We discuss the Cauchy problem of a certain stochastic parabolic partial differential equation arising in the nonlinear filtering theory, where the initial data and the nonhomogeneous noise term of the equation are given by Schwartz distributions. The generalized (distributional) solution is represented by a partial (conditional) generalized expectation ofT(t)°_0,t^–1, whereT(t) is a stochastic process with values in distributions and _s,t is a stochastic flow generated by a certain stochastic differential equation. The representation is used for getting estimates of the solution with respect to Sobolev norms.Further, by applying the partial Malliavin calculus of Kusuoka-Stroock, we show that any generalized solution is aC-function under a condition similar to Hörmander's hypoellipticity condition.