On L_p-Solvability of Stochastic Integro-Differential Equations

Istvan Gyongy; Sizhou Wu

doi:10.1007/s40072-019-00160-8

On L_p-Solvability of Stochastic Integro-Differential Equations

Istvan Gyongy, Sizhou Wu

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Number of pages	40
Journal	Stochastics and Partial Differential Equations: Analysis and Computations
Early online date	22 Jan 2020
DOIs	https://doi.org/10.1007/s40072-019-00160-8
Publication status	E-pub ahead of print - 22 Jan 2020

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title = "On L_p-Solvability of Stochastic Integro-Differential Equations",

abstract = "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.",

author = "Istvan Gyongy and Sizhou Wu",

year = "2020",

month = jan,

day = "22",

doi = "10.1007/s40072-019-00160-8",

language = "English",

journal = "Stochastics and Partial Differential Equations: Analysis and Computations",

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T1 - On L_p-Solvability of Stochastic Integro-Differential Equations

AU - Gyongy, Istvan

AU - Wu, Sizhou

PY - 2020/1/22

Y1 - 2020/1/22

N2 - 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.

AB - 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.

U2 - 10.1007/s40072-019-00160-8

DO - 10.1007/s40072-019-00160-8

M3 - Article

JO - Stochastics and Partial Differential Equations: Analysis and Computations

JF - Stochastics and Partial Differential Equations: Analysis and Computations

SN - 2194-0401

ER -

On L_p-Solvability of Stochastic Integro-Differential Equations

Abstract

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