Model problem for integro-differential Zakai equation with discontinuous observation processes in Hölder spaces

Published 5 Aug 2010 in math.PR | (1008.1025v1)

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

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