On $L_p$-Solvability of Stochastic Integro-Differential Equations
Analysis of PDEs
2019-07-12 v1 Probability
Abstract
A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces.
Cite
@article{arxiv.1907.04876,
title = {On $L_p$-Solvability of Stochastic Integro-Differential Equations},
author = {István Gyöngy and Sizhou Wu},
journal= {arXiv preprint arXiv:1907.04876},
year = {2019}
}