Relations between stochastic and partial differential equations in Hilbert spaces

DOI10.1155/2012/858736MaRDI QIDQ1929685zbMATH OpenOpenAlexWikidataFDO

Authors I. V. Melnikova, Valentina S. Parfenenkova

Publication date 9 January 2013

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/858736

zbMATH Keywords

Feynman-Kac theoremHilbert spacesstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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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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