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

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

2010-08-05

arxiv.org/abs/1008.1025v1

Mathematics

Probability

Scientific paper

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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