Model Problem for Integro-Differential Zakai Equation with Discontinuous Observation Processes
Journal Article
·
· Applied Mathematics and Optimization
- University of Southern California (United States)
- Vilnius University, Institute of Mathematics and Informatics (Lithuania)
The existence and uniqueness in Hoelder spaces of solutions of the Cauchy problem to a stochastic parabolic integro-differential equation of the order {alpha}{<=}2 is investigated. The equation considered arises in a filtering problem with a jump signal process and a jump observation process.
- OSTI ID:
- 22043919
- Journal Information:
- Applied Mathematics and Optimization, Vol. 64, Issue 1; Other Information: Copyright (c) 2011 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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