A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces.
|Number of pages||40|
|Journal||Stochastics and Partial Differential Equations: Analysis and Computations|
|Early online date||22 Jan 2020|
|Publication status||E-pub ahead of print - 22 Jan 2020|