Stochastic variational formulas for solutions to linear diffusion equations
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Publication:742887
DOI10.4171/RMI/794zbMath1309.60072arXiv0912.0185OpenAlexW2962712899MaRDI QIDQ742887
Publication date: 19 September 2014
Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.0185
stochastic controlHamilton-Jacobi partial differential equationsprobabilistic representationlinear diffusion equationslarge deviation result
Reaction-diffusion equations (35K57) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Large deviations (60F10)
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