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Model Problem for Integro-Differential Zakai Equation with Discontinuous Observation Processes |
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| Authors: | |
| Institution: | 1.University of Southern California,Los Angeles,USA;2.Institute of Mathematics and Informatics,Vilnius University,Vilnius,Lithuania |
| Abstract: | The existence and uniqueness in Hölder spaces of solutions of the Cauchy problem to a stochastic parabolic integro-differential equation of the order α≤2 is investigated. The equation considered arises in a filtering problem with a jump signal process and a jump observation process. |
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