An integral equation in systems theory (Q2639023)

The purpose of this note is to show that, under certain conditions, the integral equation \[ y(s,t)=x(s,t)+\int^{t}_{0}k(s,u)x(u,t)du,\quad s\in [0,t] \] has a unique solution x(s,t) which is differentiable with respect to t. These properties are required, for example, in the derivation of the recursive equations of the Kalman-Bucy filter [e.g. the authors, ``Mathematics of Kalman-Bucy filtering'', 2nd ed. (1988; Zbl 0643.93002)] and in control theory [see \textit{R. Bellman}, ``Introduction to the mathematical theory of control processes. II'' (1971; Zbl 0214.145)].