Characteristics of degenerate second-order parabolic Ito equations

DOI10.1007/BF01095048zbMATH Open0584.60068MaRDI QIDQ1069557FDOQ1069557

B. Rozovskii, N. V. Krylov

Publication date: 1986

Published in: Journal of Soviet Mathematics (Search for Journal in Brave)

zbMATH Keywords

Cauchy problemSobolev spacegeneralized solutionFeynman-Kac representationdegenerate second order Ito parabolic equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

• Title not available (Why is that?)
• Stochastic partial differential equations and filtering of diffusion processes
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Title not available (Why is that?)
• Stationary Stochastic Processes. (MN-8)
• ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
• On the Ito-Venttsel formula

Cited In (17)

• \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
• Schauder-type estimates for higher-order parabolic SPDEs
• Layer methods for stochastic Navier-Stokes equations using simplest characteristics
• On solvability of integro-differential equations
• On the splitting-up method and stochastic partial differential equations
• The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations
• A Feynman-Kac formula for stochastic Dirichlet problems
• On the second order derivative estimates for degenerate parabolic equations
• On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
• A maximum principle for controlled stochastic factor model
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Lagrangian averaged stochastic advection by Lie transport for fluids
• Solving parabolic stochastic partial differential equations via averaging over characteristics
• Stationary Conjugation of Flows for Parabolic SPDEs with Multiplicative Noise and Some Applications
• Well-posedness for a stochastic 2D Euler equation with transport noise
• A sharp \(L_p\)-regularity result for second-order stochastic partial differential equations with unbounded and fully degenerate leading coefficients
• Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises

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