They say the shelling occurred in Kashmir's Kargil district, some 200 kilometres north-west of Srinagar.
The Indian police say that Indian troops returned fire.
India and Pakistan have massed more than a million troops along the frontier in Kashmir in the recent escalation of tension in the region.
In another development, two Indian soldiers were killed in an explosion in the border district of Kathua, 65 kms south of Jammu.
One report says the soldiers were killed when a hand grenade went off accidentally.
From the newsroom of the BBC World Service
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