Applied Mathematics & Optimization

, Volume 64, Issue 1, pp 37–69 | Cite as

Model Problem for Integro-Differential Zakai Equation with Discontinuous Observation Processes

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Abstract

The existence and uniqueness in Hölder spaces of solutions of the Cauchy problem to a stochastic parabolic integro-differential equation of the order α≤2 is investigated. The equation considered arises in a filtering problem with a jump signal process and a jump observation process.

Keywords

Stochastic parabolic integro-differential equations Nonlinear filtering of jump processes Stochastic Hölder spaces 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.University of Southern CaliforniaLos AngelesUSA
  2. 2.Institute of Mathematics and InformaticsVilnius UniversityVilniusLithuania

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