Parabolic Ito Equations with Nonsmooth Nonlinearity and Duality Approach

DOI10.1137/S0040585X980270zbMath1064.60150MaRDI QIDQ4830834

Nikolai G. Dokuchaev

Publication date: 16 December 2004

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

zbMATH Keywords

stochastic control problemsbackward equationsparabolic Itô equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Parabolic Ito Equations with Mixed in Time Conditions ⋮ Parabolic Ito equations and second fundamental inequality ⋮ Representation of functionals of Ito processes and their first exit times ⋮ Duality and semi-group property for backward parabolic Itô equations