Stochastic Cauchy Problem in Hilbert Spaces: Models, Examples, Solutions

DOI10.14529/mmp160406zbMath1412.60095OpenAlexW2557326324MaRDI QIDQ4692058

O. S. Starkova

Publication date: 26 October 2018

Published in: Bulletin of the South Ural State University. Series "Mathematical Modelling, Programming and Computer Software" (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vyuru344

zbMATH Keywords

weak solutionforward curveWiener processmild solutionwhite noisebond pricestochastic Cauchy problem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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• Abstract stochastic equations. I: Classical and distributional solutions
• Regularized and generalized solutions of infinite-dimensional stochastic problems
• Stochastic Differential Equations in Infinite Dimensions
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Stochastic Equations in Infinite Dimensions

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