Stochastic anticipating boundary value problems

DOI10.1134/S1064562408010195zbMATH Open1163.60025arXivmath/0611751OpenAlexW2053719899MaRDI QIDQ960663FDOQ960663

B. E. Eshmatov

Publication date: 5 January 2009

Published in: Doklady Mathematics (Search for Journal in Brave)

Abstract: This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type. In the particular cases the solutions of such an equations are the well-known Wiener functionals after the second quantization. As an application the stochastic Kolmogorov equation for the conditional distributions of the diffusion process is obtained. Also we will consider the conditional variant of the Feynman--Kac formula. The two last sections of the article are devoted to the smoothing problem in the case when noise is represented by the two jointly Gaussian Wiener processes, which can have not a semimartingale property with respect to the joint filtration.

Full work available at URL: https://arxiv.org/abs/math/0611751

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Stochastic integration and one class of Gaussian random processes
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Cited In (1)

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