The stochastic solution to a Cauchy problem for degenerate parabolic equations

DOI10.1016/j.jmaa.2017.02.021zbMath1381.60097arXiv1309.0046OpenAlexW2340848136MaRDI QIDQ517967

Xiao Shan Chen, Yu-Jui Huang, Qingshuo Song, Chao Zhu

Publication date: 28 March 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0046

zbMATH Keywords

comparison principleFeynman-Kac formulalocal martingalesstochastic solutionsdegenerate Cauchy problemsnecessary and sufficient condition for uniqueness

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Solutions to PDEs in closed form (35C05)

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