Backward parabolic Ito equations and the second fundamental inequality

DOI10.1515/ROSE-2012-0003zbMATH Open1273.60075arXivmath/0606595OpenAlexW2043774937MaRDI QIDQ4923232FDOQ4923232

Nikolai Dokuchaev

Publication date: 6 June 2013

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

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.

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

Recommendations

• Parabolic Ito equations and second fundamental inequality
• Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
• Duality and semi-group property for backward parabolic Itô equations
• Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
• A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)

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)

Cited In (14)

• On backward SPDEs without proper Cauchy condition
• Some remarks about backward itô formula and applications
• Degenerate backward SPDEs in bounded domains and applications to barrier options
• On forward and backward SPDEs with non-local boundary conditions
• On degenerate backward SPDEs in bounded domains under non-local conditions
• First Order BSPDEs in Higher Dimension for Optimal Control Problems
• 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
• 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
• Parabolische Regularisierung einer hyperbolischen Itogleichung

This page was built for publication: Backward parabolic Ito equations and the second fundamental inequality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4923232)