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

DOI10.1007/S00245-010-9131-8MaRDI QIDQ647498zbMATH OpenOpenAlexWikidataFDO

Authors Henrikas Pragarauskas, R. Mikulevicius

Publication date 23 November 2011

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.1025

zbMATH Keywords

nonlinear filtering of jump processesstochastic Hölder spacesstochastic parabolic integro-differential equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11)

Abstract: 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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Cites work

• An Extension Problem Related to the Fractional Laplacian
• Calcul stochastique et problèmes de martingales
• Drift diffusion equations with fractional diffusion and the quasi-geostrophic equation
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
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• On L_p -Theory of Stochastic Partial Differential Equations in the Whole Space
• On Hölder solutions of the integro-differential Zakai equation
• On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
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Cited in

(6)

• On \(L_p\)-solvability of stochastic integro-differential equations
• A regularity theory for stochastic partial differential equations driven by multiplicative space-time white noise with the random fractional Laplacians
• L^p-maximal regularity of nonlocal parabolic equations and applications
• On \(L_{p}\)-estimates of some singular integrals related to jump processes
• On L_p-theory for stochastic parabolic integro-differential equations
• On Hölder solutions of the integro-differential Zakai equation

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