A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
From MaRDI portal
Publication:2410984
DOI10.1007/s00030-017-0440-3zbMath1376.34066arXiv1602.03851OpenAlexW2271320416MaRDI QIDQ2410984
Luca Di Persio, Francesco Giuseppe Cordoni, Immacolata Oliva
Publication date: 20 October 2017
Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.03851
Lévy processesmild solutionFeynman-Kac formulaquadratic variationstochastic delay differential equations
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Functional-differential equations in abstract spaces (34K30) Stochastic functional-differential equations (34K50) Stochastic calculus of variations and the Malliavin calculus (60H07)
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