Model problem for integro-differential Zakai equation with discontinuous observation processes in H\"older spaces
classification
🧮 math.PR
keywords
problemequationintegro-differentialjumpobservationarisescauchyconsidered
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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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