Probabilistic representations of solutions of the forward equations

DOI10.1007/S11118-007-9074-0MaRDI QIDQ2475280zbMATH OpenOpenAlexFDO

Authors B. Rajeev, S. Thangavelu

Publication date 11 March 2008

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.3352

zbMATH Keywords

adjointsdiffusion processesevolution equationItô's formulamonotonicity inequalitysecond-order elliptic partial differential equationstochastic differential equationstochastic flowsstochastic partial differential equationstochastic representation

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Abstract: In this paper we prove a stochastic representation for solutions of the evolution equation $partia{l}_{t}ps{i}_t=1/2L^{\ast }ps{i}_t$ where $L^{\ast }$ is the formal adjoint of an elliptic second order differential operator with smooth coefficients corresponding to the infinitesimal generator of a finite dimensional diffusion $(X_t).$ Given $ps{i}_0=psi$, a distribution with compact support, this representation has the form $ps{i}_t=E(Y_t(psi))$ where the process $(Y_t(psi))$ is the solution of a stochastic partial differential equation connected with the stochastic differential equation for $(X_t)$ via Ito's formula.

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Cited in

(18)

• Probabilistic representation of solutions for a class of evolution equations
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Differential operators on Hermite Sobolev spaces
• An Itō formula in the space of tempered distributions
• Translation invariant diffusions in the space of tempered distributions
• Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise
• A probabilistic representation for the solution of a problem of mathematical physics
• The monotonicity inequality for linear stochastic partial differential equations
• Probabilistic representations for the solution of higher order differential equations
• On the Feynman–Kac Formula
• Characterizing Gaussian flows arising from Itô's stochastic differential equations
• Lévy flows and associated stochastic PDEs
• Existence and uniqueness of stochastic PDEs associated with the forward equations: an approach using alternate norms
• Stochastic PDEs involving a bilaplacian operator
• Weak solutions of SPDEs in the space of tempered distributions
• Stochastic partial differential equations and invariant manifolds in embedded Hilbert spaces
• Solutions of SPDE's associated with a stochastic flow
• Probabilistic approach to ordinary differential equations

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