Functional Kolmogorov equations

DOI10.1007/978-3-319-27128-6_8zbMath1372.60074OpenAlexW2347187781MaRDI QIDQ2813630

Rama Cont, David-Antoine Fournié

Publication date: 24 June 2016

Published in: Advanced Courses in Mathematics - CRM Barcelona (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-27128-6_8

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (7)

Optimal control for stochastic Volterra equations with multiplicative Lévy noise ⋮ Markovian integral equations ⋮ Rough differential equations with path-dependent coefficients ⋮ Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity ⋮ Path-dependent equations and viscosity solutions in infinite dimension ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ Quadratic variation and quadratic roughness

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