Title of article
On Hِlder solutions of the integro-differential Zakai equation
Author/Authors
Mikulevicius، نويسنده , , R. and Pragarauskas، نويسنده , , H.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
37
From page
3319
To page
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
Nonlinear filtering of jump processes , Zakai equation , Stochastic partial integro-differential equations
Journal title
Stochastic Processes and their Applications
Serial Year
2009
Journal title
Stochastic Processes and their Applications
Record number
1578192
Link To Document