Edinburgh Research Archive logo

Edinburgh Research Archive

University of Edinburgh homecrest
View Item 
  •   ERA Home
  • Mathematics, School of
  • Mathematics thesis and dissertation collection
  • View Item
  •   ERA Home
  • Mathematics, School of
  • Mathematics thesis and dissertation collection
  • View Item
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.

On Lp-solvability of stochastic integro-differential equations

View/Open
Wu221.pdf (811.0Kb)
Date
31/07/2021
Author
Wu, Sizhou
Metadata
Show full item record
Abstract
In this thesis, we investigate the Lp-solvability of a class of (possibly) degenerate stochastic integro-differential equations (SIDEs) of parabolic type, which includes the Zakai equation in nonlinear filtering for jump diffusions and the Kolmogorov equations for jump diffusions. We first study the solvability of integro-differential equations in the same type but without randomness. Then we present an Itˆo formula for the Lp-norm of jump processes having stochastic differentials in Lp-spaces, which can be used to study the solvability of SIDEs. In the last chapter, existence and uniqueness of the solutions to SIDEs are established in Bessel potential spaces.
URI
https://hdl.handle.net/1842/38205

http://dx.doi.org/10.7488/era/1471
Collections
  • Mathematics thesis and dissertation collection

Library & University Collections HomeUniversity of Edinburgh Information Services Home
Privacy & Cookies | Takedown Policy | Accessibility | Contact
Privacy & Cookies
Takedown Policy
Accessibility
Contact
feed RSS Feeds

RSS Feed not available for this page

 

 

All of ERACommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsPublication TypeSponsorSupervisorsThis CollectionBy Issue DateAuthorsTitlesSubjectsPublication TypeSponsorSupervisors
LoginRegister

Library & University Collections HomeUniversity of Edinburgh Information Services Home
Privacy & Cookies | Takedown Policy | Accessibility | Contact
Privacy & Cookies
Takedown Policy
Accessibility
Contact
feed RSS Feeds

RSS Feed not available for this page