Boundary Value Problems for Functionals of Itô Processes

DOI10.1137/1136056MaRDI QIDQ3135018zbMATH OpenOpenAlexFDO

Authors Nikolai Dokuchaev

Publication date 22 September 1993

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.1431

zbMATH Keywords

boundary value problemstochastic partial differential equationstrong solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: Backward stochastic partial differential equations in bounded and unbounded domains are studied. Existence and regularity results are obtained. Duality relationship with forward SPDEs are established. Representation of functionals of Ito processes in bounded domains is discussed.

Recommendations

• scientific article; zbMATH DE number 20654
• Boundary value problems for stochastic differential equations
• scientific article; zbMATH DE number 4011588
• scientific article; zbMATH DE number 3967588
• scientific article; zbMATH DE number 4011586
• A kind of boundary value problems for stochastic differential equations
• Boundary value problems for linear stochastic differential equations
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations

Cited in

(9)

• Degenerate backward SPDEs in bounded domains and applications to barrier options
• On forward and backward SPDEs with non-local boundary conditions
• Representation of functionals of Itô processes and their first exit times
• Duality and semi-group property for backward parabolic Itô equations
• Parabolic Ito Equations with Mixed in Time Conditions
• On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
• On degenerate backward SPDEs in bounded domains under non-local conditions
• First order BSPDEs in higher dimension for optimal control problems
• The moving-eigenvalue method: hitting time for Itô processes and moving boundaries

This page was built for publication: Boundary Value Problems for Functionals of Itô Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3135018)