Functional Kolmogorov equations

DOI10.1007/978-3-319-27128-6_8MaRDI QIDQ2813630zbMATH OpenOpenAlexFDO

Authors Rama Cont, David-Antoine Fournié

Publication date 24 June 2016

Published in Advanced Courses in Mathematics - CRM Barcelona (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-27128-6_8

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(13)

• Path-dependent equations and viscosity solutions in infinite dimension
• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
• Quadratic variation and quadratic roughness
• Optimal control for stochastic Volterra equations with multiplicative Lévy noise
• Markovian integral equations
• Stochastic functional Kolmogorov equations. I: Persistence
• Analytical methods for Kolmogorov equations
• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
• scientific article; zbMATH DE number 7166891 (Why is no real title available?)
• Rough differential equations with path-dependent coefficients
• Equations related to stochastic processes: semigroup approach and Fourier transform
• Rare transitions in noisy heteroclinic networks
• Closed-loop equilibria for mean-field games in randomly switching environments with general discounting costs

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