Backward parabolic Ito equations and the second fundamental inequality

DOI10.1515/ROSE-2012-0003MaRDI QIDQ4923232zbMATH OpenOpenAlexFDO

Authors Nikolai Dokuchaev

Publication date 6 June 2013

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606595

zbMATH Keywords

parabolic Ito equationsbackward SPDEsregularity second fundamental inequality

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: Regularity of solutions is studied for backward stochastic parabolic Ito equations. An analog of the second energy inequality and the related existence theorem are obtained for domains with boundary.

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Cited in

(17)

• Degenerate backward SPDEs in bounded domains and applications to barrier options
• On forward and backward SPDEs with non-local boundary conditions
• Some remarks about backward itô formula and applications
• On backward SPDEs without proper Cauchy condition
• On degenerate backward SPDEs in bounded domains under non-local conditions
• Parabolic Ito equations and second fundamental inequality
• Some Results of Backward Itô Formula
• On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces
• On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
• Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
• First order BSPDEs in higher dimension for optimal control problems
• L^p-estimates, local well-posedness and controllability for linear and semilinear backward SPDEs
• A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
• Backward Itô's formula for sections of a fibered manifold
• Hörmander-type theorem for Itô processes and related backward SPDEs
• Duality and semi-group property for backward parabolic Itô equations
• Parabolische Regularisierung einer hyperbolischen Itogleichung

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