On Solvability of Integro-Differential Equations

Marta de León-Contreras, Istvan Gyongy, Sizhou Wu

Research output: Contribution to journalArticlepeer-review

Abstract

A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces and in Sobolev-Slobodeckij spaces. Generalisations to stochastic integro-differential equations, arising in filtering theory of jump diffusions, will be given in a forthcoming paper.
Original languageEnglish
Number of pages36
JournalPotential analysis
Early online date25 Aug 2020
DOIs
Publication statusE-pub ahead of print - 25 Aug 2020

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