Relations between stochastic and partial differential equations in Hilbert spaces
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Publication:1929685
Summary: The aim of the paper is to introduce a generalization of the Feynman-Kac theorem in Hilbert spaces. Connection between solutions to the abstract stochastic differential equation \(dX(t) = AX(t)dt + BdW(t)\) and solutions to the deterministic partial differential (with derivatives in Hilbert spaces) equation for the probability characteristic \(\operatorname{E}^{t, x}h(X(T))\) is proved. Interpretation of objects in the equations is given.
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Cites work
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Cited in
(5)- Feynman-Kac theorem in Hilbert spaces
- Two approaches to infinite dimensional extension of Feynman-Kac theorem
- Representation theorem for stochastic differential equations in Hilbert spaces and its applications
- SCHRÖDINGER OPERATORS ON LOCAL FIELDS: SELF-ADJOINTNESS AND PATH INTEGRAL REPRESENTATIONS FOR PROPAGATORS
- scientific article; zbMATH DE number 4036851 (Why is no real title available?)
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