Model problem for integro-differential Zakai equation with discontinuous observation processes in H\"older spaces
Probability
2010-08-06 v1
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.
Keywords
Cite
@article{arxiv.1008.1025,
title = {Model problem for integro-differential Zakai equation with discontinuous observation processes in H\"older spaces},
author = {R. Mikulevicius and H. Pragarauskas},
journal= {arXiv preprint arXiv:1008.1025},
year = {2010}
}