On solvability of integro-differential equations
From MaRDI portal
Abstract: A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces and in Sobolev-Slobodeckij spaces. Generalisations to stochastic integro-differential equations, arising in filtering theory of jump diffusions, will be given in a forthcoming paper.
Recommendations
- On \(L_p\)-solvability of stochastic integro-differential equations
- On \(L_p\)-theory for stochastic parabolic integro-differential equations
- On Hölder solutions of the integro-differential Zakai equation
- scientific article; zbMATH DE number 775008
- Solvability of some integro-differential equations with drift
Cites work
- scientific article; zbMATH DE number 1598665 (Why is no real title available?)
- scientific article; zbMATH DE number 1807482 (Why is no real title available?)
- scientific article; zbMATH DE number 5346226 (Why is no real title available?)
- scientific article; zbMATH DE number 3705381 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 48405 (Why is no real title available?)
- scientific article; zbMATH DE number 3507755 (Why is no real title available?)
- scientific article; zbMATH DE number 3602126 (Why is no real title available?)
- scientific article; zbMATH DE number 473351 (Why is no real title available?)
- scientific article; zbMATH DE number 1776586 (Why is no real title available?)
- scientific article; zbMATH DE number 775008 (Why is no real title available?)
- scientific article; zbMATH DE number 3229904 (Why is no real title available?)
- scientific article; zbMATH DE number 3263682 (Why is no real title available?)
- scientific article; zbMATH DE number 3275964 (Why is no real title available?)
- scientific article; zbMATH DE number 3345727 (Why is no real title available?)
- A comparison principle for stochastic integro-differential equations
- A note on \(W^{\gamma}_p\)-theory of linear stochastic parabolic partial differential systems
- An Extension Problem Related to the Fractional Laplacian
- An \(L_p\)-theory of a class of stochastic equations with the random fractional Laplacian driven by Lévy processes
- An \(L_{p}\)-theory for non-divergence form SPDEs driven by Lévy processes
- Characteristics of degenerate second-order parabolic Ito equations
- Extension problem and Harnack's inequality for some fractional operators
- Financial Modelling with Jump Processes
- Finite difference schemes for stochastic partial differential equations in Sobolev spaces
- Itô's formula for the \(L _{p }\)-norm of stochastic \({W^{1}_{p}}\)-valued processes
- Lévy Processes and Stochastic Calculus
- Nonlocal diffusion and applications
- ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space
- On \(L^p\)-theory for parabolic and elliptic integro-differential equations with scalable operators in the whole space
- On \(L_p\)-theory for stochastic parabolic integro-differential equations
- On a stochastic partial differential equation with a fractional Laplacian operator
- On classical solutions of linear stochastic integro-differential equations
- On degenerate linear stochastic evolution equations driven by jump processes
- On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces
- On the Cauchy problem for integro-differential equations in the scale of spaces of generalized smoothness
- On the Diffeomorphisms of Euclidean Space
- On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
- PDE and martingale methods in option pricing.
- Regularity estimates for the solution and the free boundary of the obstacle problem for the fractional Laplacian
Cited in
(11)- Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type
- Solvability of some integro-differential equations with concentrated sources
- On degenerate linear stochastic evolution equations driven by jump processes
- On partially observed jump diffusions. II: The filtering density
- scientific article; zbMATH DE number 3338727 (Why is no real title available?)
- On \(L_p\)-solvability of stochastic integro-differential equations
- scientific article; zbMATH DE number 27095 (Why is no real title available?)
- scientific article; zbMATH DE number 3990068 (Why is no real title available?)
- scientific article; zbMATH DE number 7477953 (Why is no real title available?)
- scientific article; zbMATH DE number 610300 (Why is no real title available?)
- scientific article; zbMATH DE number 3897578 (Why is no real title available?)
This page was built for publication: On solvability of integro-differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2234498)
