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arXiv · 1012.5816

On L_p- theory for stochastic parabolic integro-differential equations

R. Mikulevicius·H. Pragarauskas
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Abstract

The existence and uniqueness in fractional Sobolev spaces of the Cauchy problem to a stochastic parabolic integro-differential equation is investigated. A model problem with coefficients independent of space variable is considered. The equation arises, for example, in a filtering problem with a jump signal and jump observation process.

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R. Mikulevicius, H. Pragarauskas. 2012-12-28. On L_p- theory for stochastic parabolic integro-differential equations. https://doi.org/10.1007/s40072-013-0003-5

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