Characterizing Gaussian flows arising from Itô's stochastic differential equations

DOI10.1007/S11118-016-9578-6zbMATH Open1365.60057arXiv1410.4633OpenAlexW3103331795MaRDI QIDQ512833FDOQ512833

Authors: Suprio Bhar 

Publication date: 2 March 2017

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: We introduce and characterize a class of flows, which turn out to be Gaussian. This characterization allows us to show, using the Monotonicity inequality, that the transpose of the flow, for an extended class of initial conditions, is the unique solution of the SPDE introduced in Rajeev and Thangavelu (2008).

Full work available at URL: https://arxiv.org/abs/1410.4633

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zbMATH Keywords

monotonicity inequalitystochastic differential equationsdiffusion processesforward equationsGaussian flows

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (4)

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