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

Zakai equationstochastic partial integro-differential equationsNonlinear filtering of jump processes

Mathematics Subject Classification ID

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

Recommendations

• Model problem for integro-differential Zakai equation with discontinuous observation processes
• On \(L_p\)-solvability of stochastic integro-differential equations
• On \(L_p\)-theory for stochastic parabolic integro-differential equations
• scientific article; zbMATH DE number 503105
• scientific article; zbMATH DE number 863590

Cites work

• scientific article; zbMATH DE number 3758829 (Why is no real title available?)
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• scientific article; zbMATH DE number 48405 (Why is no real title available?)
• scientific article; zbMATH DE number 3511353 (Why is no real title available?)
• scientific article; zbMATH DE number 3536702 (Why is no real title available?)
• scientific article; zbMATH DE number 3895476 (Why is no real title available?)
• scientific article; zbMATH DE number 3329342 (Why is no real title available?)
• Calcul stochastique et problèmes de martingales
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space
• On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces
• On the Cauchy problem for parabolic SPDEs in Hölder classes.
• On the martingale problem for generators of stable processes with perturbations
• On the optimal filtering of diffusion processes
• Properties of solutions of stochastic differential equations
• Reduced stochastic equations of the nonlinear filtering of random processes

Cited in

(17)

• On the Cauchy problem for integro-differential operators in Sobolev classes and the martingale problem
• Short time existence of the classical solution to the fractional mean curvature flow
• Weak Euler approximation for Itô diffusion and jump processes
• On solvability of integro-differential equations
• On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem
• 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
• On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
• On classical solutions of linear stochastic integro-differential equations
• scientific article; zbMATH DE number 2169878 (Why is no real title available?)
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• On \(L_p\)-theory for stochastic parabolic integro-differential equations
• Model problem for integro-differential Zakai equation with discontinuous observation processes
• On \(L_p\)-solvability of stochastic integro-differential equations
• Weak Euler scheme for Lévy-driven stochastic differential equations
• A regularity theory for stochastic partial differential equations driven by multiplicative space-time white noise with the random fractional Laplacians
• On \(L_{p}\)-estimates of some singular integrals related to jump processes

This page was built for publication: On Hölder solutions of the integro-differential Zakai equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q734637)