Marta De León-Contreras, István Gyöngy, Sizhou Wu
Published 2018-09-18Version 1
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.
On $L_p$-Solvability of Stochastic Integro-Differential Equations
On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
On the solvability of the Brinkman-Forchheimer-extended Darcy equation
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