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

Published 10 Jul 2019 in math.AP and math.PR | (1907.04876v1)

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.

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Authors (2)

  1. István Gyöngy 
  2. Sizhou Wu 

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