Boundary Value Problems for Functionals of Itô Processes

DOI10.1137/1136056zbMath0776.60072arXiv1209.1431OpenAlexW1971165564MaRDI QIDQ3135018

Nikolai G. Dokuchaev

Publication date: 22 September 1993

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.1431

zbMATH Keywords

boundary value problemstrong solutionstochastic partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (7)

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Parabolic Ito Equations with Mixed in Time Conditions ⋮ Representation of functionals of Ito processes and their first exit times ⋮ Duality and semi-group property for backward parabolic Itô equations ⋮ Degenerate backward SPDEs in bounded domains and applications to barrier options ⋮ On forward and backward SPDEs with non-local boundary conditions

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