On Hölder solutions of the integro-differential Zakai equation

R. Mikulevicius and H. Pragarauskas

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3319-3355

Abstract: The existence and uniqueness of solutions of the Cauchy problem to a stochastic parabolic integro-differential equation is investigated. The equation considered arises in a nonlinear filtering problem with a jump signal process and continuous observation.

Keywords: Stochastic; partial; integro-differential; equations; Zakai; equation; Nonlinear; filtering; of; jump; processes (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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