Publication:4230822

zbMath0944.60063MaRDI QIDQ4230822

Giuseppe Da Prato

Publication date: 14 February 1999

zbMATH Keywords

parabolic equations; Girsanov formula; Feynman-Kac formula; Ito calculus

Mathematics Subject Classification ID

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

60-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory

60J60: Diffusion processes

35R60: PDEs with randomness, stochastic partial differential equations

Related Items

Strong feller property for stochastic semilinear equations, Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature