Probabilistic representations of solutions of the forward equations

DOI10.1007/s11118-007-9074-0zbMath1134.60042arXiv0706.3352OpenAlexW1980265478MaRDI QIDQ2475280

B. Rajeev, Sundaram 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

stochastic differential equationevolution equationdiffusion processesstochastic representationstochastic partial differential equationstochastic flowsItô's formulamonotonicity inequalityadjointssecond-order elliptic partial differential equation

Mathematics Subject Classification ID

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

Related Items

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 ⋮ Lévy flows and associated stochastic PDEs ⋮ Characterizing Gaussian flows arising from Itô's stochastic differential equations ⋮ THE MONOTONICITY INEQUALITY FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS ⋮ Solutions of SPDE's associated with a stochastic flow ⋮ On the Feynman–Kac Formula ⋮ Differential operators on Hermite Sobolev spaces

Cites Work

• Probability representations of solutions to the heat equation
• THE MONOTONICITY INEQUALITY FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Diffusion equations in duals of nuclear spaces
• Stochastic partial differential equations and filtering of diffusion processes
• Diffusions and Elliptic Operators
• Stochastic Equations in Infinite Dimensions
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