Stochastic variational formulas for solutions to linear diffusion equations

DOI10.4171/RMI/794zbMath1309.60072arXiv0912.0185OpenAlexW2962712899MaRDI QIDQ742887

Mohar Guha, Joseph G. Conlon

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

zbMATH Keywords

stochastic controlHamilton-Jacobi partial differential equationsprobabilistic representationlinear diffusion equationslarge deviation result

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Large deviations (60F10)

Related Items (2)

On large time behavior and selection principle for a diffusive Carr-Penrose model ⋮ A non-local problem for the Fokker-Planck equation related to the Becker-Döring model

Cites Work

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• Adjoint and compensated compactness methods for Hamilton-Jacobi PDE
• Stochastic variational formula for fundamental solutions of parabolic PDE
• Convex viscosity solutions and state constraints
• Two Approximations of Solutions of Hamilton-Jacobi Equations

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