On the existence and uniqueness for a stochastic differential equation. (English) Zbl 0853.60050
Vilaplana, J. Pérez (ed.) et al., Recent advances in statistics and probability. Proceedings of the 4th international meeting of statistics in the Basque Country, San Sebastián, Spain, 4-7 August, 1992. Utrecht: VSP. 311-315 (1994).
The paper proves existence and uniqueness of the solution of a stochastic differential equation (Zakai equation) arising in the theory of filtering from point process observations, the solution being a measure valued Feller process.
For the entire collection see [Zbl 0834.00045].
For the entire collection see [Zbl 0834.00045].
Reviewer: C.A.Braumann (Evora)
MSC:
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 60H25 | Random operators and equations (aspects of stochastic analysis) |
| 60G55 | Point processes (e.g., Poisson, Cox, Hawkes processes) |
