On L_p theory for Zakai equation with discontinuous observation process

Details On L_p theory for Zakai equation with discontinuous observation process On L_p theory for Zakai equation with discontinuous observation process

2010-12-28

arxiv.org/abs/1012.5816v1

Mathematics

Probability

Scientific paper

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 in a filtering problem with a jump signal
and jump observation process.

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