Stochastic representation of diffusions corresponding to divergence form operators

DOI10.1016/0304-4149(96)00059-2zbMATH Open0870.60073OpenAlexW1968303221MaRDI QIDQ1363463FDOQ1363463

Andrzej Rozkosz

Publication date: 7 August 1997

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(96)00059-2

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zbMATH Keywords

Dirichlet processdiffusion process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic integrals (60H05)

Cites Work

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• Introduction to the theory of (non-symmetric) Dirichlet forms
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• On a construction of Markov processes associated with time dependent Dirichlet spaces
• On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• On a martingale method for symmetric diffusion processes and its applications
• Stochastic calculus related to non-symmetric Dirichlet forms
• On conditional diffusion processes
• Weak convergence of diffusions corresponding to divergence form operators
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• Some properties of Markov processes associated with time dependent Dirichlet forms
• Diffusion processes with non-smooth diffusion coefficients and their density functions

Cited In (17)

• On Dirichlet processes associated with second order divergence form operators
• Title not available (Why is that?)
• A probabilistic interpretation of the divergence and BSDE's.
• A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
• Title not available (Why is that?)
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• Existence and regularity of infinitesimally invariant measures, transition functions and time-homogeneous Itô-SDEs
• BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• An extension of Itô's formula for elliptic diffusion processes
• Title not available (Why is that?)
• On time-dependent functionals of diffusions corresponding to divergence form operators
• On the Feynman–Kac representation for solutions of the Cauchy problem for parabolic equations in divergence form
• Generalization of Itô's formula for smooth nondegenerate martingales.
• Stochastic differential equations driven by processes generated by divergence form operators II: convergence results
• Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
• Dirichlet processes associated to diffusions

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