On solvability of integro-differential equations
Analysis of PDEs
2018-09-19 v1
Abstract
A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces and in Sobolev-Slobodeckij spaces. Generalisations to stochastic integro-differential equations, arising in filtering theory of jump diffusions, will be given in a forthcoming paper.
Cite
@article{arxiv.1809.06840,
title = {On solvability of integro-differential equations},
author = {Marta De León-Contreras and István Gyöngy and Sizhou Wu},
journal= {arXiv preprint arXiv:1809.06840},
year = {2018}
}
Comments
37 pages