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

DOI10.1007/s00245-010-9131-8zbMath1229.93154arXiv1008.1025WikidataQ115388221 ScholiaQ115388221MaRDI QIDQ647498

H. Pragarauskas, Remigijus Mikulevičius

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 processes; stochastic Hölder spaces; stochastic parabolic integro-differential equations

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

On \(L_p\)-theory for stochastic parabolic integro-differential equations, \(L^p\)-maximal regularity of nonlocal parabolic equations and applications

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