Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
DOI10.1007/978-3-319-23425-0_2zbMath1338.60138OpenAlexW2224454562MaRDI QIDQ2801789
Publication date: 22 April 2016
Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_2
path-dependent Kolmogorov equationswindow Brownian motioncalculus via regularizationBanach space stochastic calculusfunctional Itō/path-dependent calculusstrong-viscosity solutions
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40) Strong solutions to PDEs (35D35)
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