On classical solutions of linear stochastic integro-differential equations

DOI10.1007/S40072-016-0070-5zbMATH OpenNonearXiv1404.0345OpenAlexW2963430846MaRDI QIDQ338203FDOQ338203

Authors: James-Michael Leahy, R. Mikulevicius 

Publication date: 4 November 2016

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: We prove the existence of classical solutions to parabolic linear stochastic integro-differential equations with adapted coefficients using Feynman-Kac transformations, conditioning, and the interlacing of space-inverses of stochastic flows associated with the equations. The equations are forward and the derivation of existence does not use the "general theory" of SPDEs. Uniqueness is proved in the class of classical solutions with polynomial growth.

Full work available at URL: https://arxiv.org/abs/1404.0345

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zbMATH Keywords

stochastic flowsstochastic transport equationstochastic integro-differential equationmethod of stochastic characteristics

Mathematics Subject Classification ID

Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60)

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