Characteristics of degenerate second-order parabolic Ito equations
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Publication:1069557
DOI10.1007/BF01095048zbMath0584.60068MaRDI QIDQ1069557
Nicolai V. Krylov, Boris L. Rosovskii
Publication date: 1986
Published in: Journal of Soviet Mathematics (Search for Journal in Brave)
Sobolev space; Cauchy problem; generalized solution; Feynman-Kac representation; degenerate second order Ito parabolic equations
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
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