Generalized solutions of linear parabolic stochastic partial differential equations

DOI10.1007/S002459900083MaRDI QIDQ1389844zbMATH OpenOpenAlexFDO

Authors Jürgen Potthoff, G. Våge, Hisao Watanabe

Publication date 2 March 1999

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://ub-madoc.bib.uni-mannheim.de/1699/1/210_1996_bearb.pdf

zbMATH Keywords

Feynman-Kac formulageneralized solutionGirsanov formulastochastic Cauchy problem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

Two Cauchy problems are considered for parabolic stochastic partial differential equations in the sense of generalized solutions where multiplicative noise terms are defined by Hitsuda-Skorokhod integrals with respect to space time white noise processes. Existence and uniqueness theorems are proved by using the generalized Feynman-Kac formula, the Girsanov formula and the S-transformation.

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