On Hölder solutions of the integro-differential Zakai equation
On Hölder solutions of the integro-differential Zakai equation
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DOI：
10.1016/j.spa.2009.05.008
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发表时间：
2009-10
影响因子：
1.4
通讯作者：
R. Mikulevičius;H. Pragarauskas
中科院分区：
文献类型：
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作者：
R. Mikulevičius;H. Pragarauskas
研究了随机抛物型积分微分方程柯西问题解的存在唯一性。所考虑的方程出现在具有跳跃信号过程和连续观测的非线性滤波问题中。
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.