On Hölder solutions of the integro-differential Zakai equation (Q734637): Difference between revisions

The authors consider a linear stochastic integro-differential parabolic equation. An important example is Zakai equation. This kind of equations arises in a nonlinear filtering problem with a jump signal and continuous observation. Existence and uniqueness of solution of the Cauchy problem is studied. This is an extension of the results in [\textit{R. Mikulevičius} and \textit{H. Pragarauskas}, Lith. Math. J. 32, No.~2, 238--264 and Liet. Mat. Rink. 32, No.~2 , 299--331 (1992; Zbl 0795.45007)] and [\textit{R. Mikulevičius}, Ann. Probab. 28, No.~1, 74--103 (2000; Zbl 1044.60050)]. Following this papers, they begin considering coefficients independent of the spatial variable and obtaining a priori estimates in Hölder classes.