On Hölder solutions of the integro-differential Zakai equation

DOI10.1016/J.SPA.2009.05.008MaRDI QIDQ734637zbMATH OpenOpenAlexWikidataFDO

Authors R. Mikulevicius, Henrikas Pragarauskas

Publication date 13 October 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2009.05.008

zbMATH Keywords

Nonlinear filtering of jump processesstochastic partial integro-differential equationsZakai equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

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Cited in

(19)

• 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
• Short time existence of the classical solution to the fractional mean curvature flow
• On solvability of integro-differential equations
• On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem
• On the Cauchy problem for integro-differential operators in Sobolev classes and the martingale problem
• On \(L_{p}\)-estimates of some singular integrals related to jump processes
• On classical solutions of linear stochastic integro-differential equations
• scientific article; zbMATH DE number 2169878 (Why is no real title available?)
• On L_p-theory for stochastic parabolic integro-differential equations
• Weak Euler scheme for Lévy-driven stochastic differential equations
• Weak Euler approximation for Itô diffusion and jump processes
• On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Model problem for integro-differential Zakai equation with discontinuous observation processes
• Fractional backward stochastic partial differential equations with applications to stochastic optimal control of partially observed systems driven by Lévy processes
• Fractional Fokker-Planck-Kolmogorov equations with Hölder continuous drift
• An \(L_p\)-theory of a class of stochastic equations with the random fractional Laplacian driven by Lévy processes
• Probabilistic approach for semi-linear stochastic fractal equations

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