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arXiv · 1008.1025

Model problem for integro-differential Zakai equation with discontinuous observation processes in Hölder spaces

R. Mikulevicius·H. Pragarauskas
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Abstract

The existence and uniqueness of solutions of the Cauchy problem to a a stochastic parabolic integro-differential equation is investigated. The equattion considered arises in nonlinear filtering problem with a jump signal process and jump observation.

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BibTeXRIS

R. Mikulevicius, H. Pragarauskas. 2010-08-05. Model problem for integro-differential Zakai equation with discontinuous observation processes in Hölder spaces. https://arxiv.org/abs/1008.1025

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