Duality and semi-group property for backward parabolic Itô equations

DOI10.1515/ROSE.2010.51zbMath1224.60192arXiv0708.2497MaRDI QIDQ3077711

Nikolai G. Dokuchaev

Publication date: 22 February 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.2497

zbMATH Keywords

regularitysemi-group propertybackward SPDEsanti-causalityparabolic Itô's equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Linear differential equations in abstract spaces (34G10) Local time and additive functionals (60J55)

Related Items (6)

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ On backward SPDEs without proper Cauchy condition ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Representation of functionals of Ito processes and their first exit times ⋮ Degenerate backward SPDEs in bounded domains and applications to barrier options ⋮ On forward and backward SPDEs with non-local boundary conditions

Cites Work

• Adapted solution of a backward stochastic differential equation
• Stochastic heat equation with random coefficients
• A duality analysis on stochastic partial differential equations
• White noise driven parabolic SPDEs with measurable drift
• Existence, uniqueness and invariant measures for stochastic semilinear equations on Hilbert spaces
• Boundary Value Problems for Functionals of Itô Processes
• Parabolic Ito Equations with Nonsmooth Nonlinearity and Duality Approach
• Fully Nonlinear Stochastic Partial Differential Equations

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