On Hölder solutions of the integro-differential Zakai equation

DOI10.1016/j.spa.2009.05.008zbMath1181.60099OpenAlexW2008143737WikidataQ115341169 ScholiaQ115341169MaRDI QIDQ734637

H. Pragarauskas, Remigijus Mikulevičius

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)

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Cites Work

• Calcul stochastique et problèmes de martingales
• On the martingale problem for generators of stable processes with perturbations
• Properties of solutions of stochastic differential equations
• Reduced stochastic equations of the nonlinear filtering of random processes
• 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 CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space
• On the optimal filtering of diffusion processes
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