Article ID Journal Published Year Pages File Type
1156099 Stochastic Processes and their Applications 2009 37 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Preview
On Hölder solutions of the integro-differential Zakai equation
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