On L_{p}-estimates of some singular integrals related to jump processes

We estimate fractional Sobolev and Besov norms of some singular integrals arising in the model problem for the Zakai equation with discontinuous signal and observation

On the rate of convergence of weak Euler approximation for non-degenerate SDEs

The paper estimates the rate of convergence of the weak Euler approximation for the solutions of SDEs with Hoelder continuous coefficients driven by point and martingale measures. The equation considered has a non-degenerate main part whose jump intensity measure is absolutely continuous with respect to the Levy measure of a spherically-symmetric stable process. It includes the nondegenerate diffusions and SDEs driven by Levy processes.Comment: Added references, corrected typo

Model problem for integro-differential Zakai equation with discontinuous observation processes in H\"older spaces

The existence and uniqueness of solutions of the Cauchy problem to a a stochastic parabolic integro-differential equation is investigated. The equattion considered arises in nonlinear filtering problem with a jump signal process and jump observation

On Lp -theory for parabolic and elliptic integro-differential equations with scalable operators in the whole space

Elliptic and parabolic integro-differential model problems are considered in the whole space. By verifying H\"ormander condition, the existence and uniqueness is proved in L_{p}-spaces of functions whose regularity is defined by a scalable, possibly nonsymmetric, Levy measure. Some rough probability density function estimates of the associated Levy process are used as well

On distribution free Skorokhod-Malliavin calculus

The starting point of the current paper is a sequence of uncorrelated random variables. The distribution functions of these variables are assumed to be given but no assumptions on the types or the structure of these distributions are made. The above setting constitute the so called "distribution free" paradigm. Under these assumptions, a version of Skorokhod-Malliavin calculus is developed and applications to stochastic PDES are discussed

On the Cauchy problem for integro-differential operators in H\"older classes and the uniqueness of the martingale problem

The existence and uniqueness in H\"older spaces of solutions of the Cauchy problem to parabolic integro-differential equation of the order {\alpha}\in(0,2) is investigated. The principal part of the operator has kernel m(t,x,y)/|y|^{d+{\alpha}} with a bounded nondegenerate m, H\"older in x and measurable in y. The result is applied to prove the uniqueness of the corresponding martingale problem

On the Cauchy problem for integro-differential equations in the scale of spaces of generalized smoothness

Parabolic integro-differential model Cauchy problem is considered in the scale of Lp -spaces of functions whose regularity is defined by a scalable Levy measure. Existence and uniqueness of a solution is proved by deriving apriori estimates. Some rough probability density function estimates of the associated Levy process are used as well

On the Cauchy problem for stochastic integro-differential equations with radially O-regularly varying Levy measure

Parabolic integro-differential nondegenerate Cauchy problem is considered in the scale of L_{p} spaces of functions whose regularity is defined by a Levy measure with O-regulary varying radial profile. Existence and uniqueness of a solution is proved by deriving apriori estimates. Some probability density function estimates of the associated Levy process are used as well.Comment: arXiv admin note: text overlap with arXiv:1805.0323

On Degenerate Linear Stochastic Evolution Equations Driven by Jump Processes

We prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application of this result, we derive the existence and uniqueness of solutions of degenerate parabolic linear stochastic integro-differential equations (SIDEs) in the Sobolev scale. The SIDEs that we consider arise in the theory of non-linear filtering as the equations governing the conditional density of a degenerate jump-diffusion signal given a jump-diffusion observation, possibly with correlated noise

On the Cauchy problem for nondegenerate parabolic integro-differential equations in the scale of generalized H\"older spaces

Parabolic integro-differential non degenerate Cauchy problem is considered in the scale of H\"older spaces of functions whose regularity is defined by a radially O-regularly varying L\'evy measure. Existence and uniqueness and the estimates of the solution are derived