Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations

DOI10.4171/RMI/392zbMath1060.70025OpenAlexW1978788369MaRDI QIDQ1884175

Vassili N. Kolokol'tsov, Alexei E. Tyukov, Rene L. Schilling

Publication date: 25 October 2004

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/39720

zbMATH Keywords

well-posednessmethod of characteristicsLévy noise

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Hamilton-Jacobi equations in mechanics (70H20)

Related Items (2)

The variational approach to Hamilton-Jacobi equations driven by a Gaussian noise ⋮ Geometric properties of the Maxwell set and a vortex filament structure for Burgers equation

Cites Work

• Semimartingales: A course on stochastic processes
• Differentiability of the transition semigroup of the stochastic Burgers equations, and application to the corresponding Hamilton-Jacobi equation
• Central limit theorem for stochastic Hamilton-Jacobi equations
• Stochastic Hamiltonian-Jacobi-Bellman equation and stochastic Hamiltonian systems
• Semiclassical analysis for diffusions and stochastic processes
• Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise
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