Stochastic Parabolic Equations of Full Second Order
From MaRDI portal
Abstract: A procedure is described for defining a generalized solution for stochastic differential equations using the Cameron-Martin version of the Wiener Chaos expansion. Existence and uniqueness of this Wiener Chaos solution is established for parabolic stochastic PDEs such that both the drift and the diffusion operators are of the second order.
Recommendations
Cited in
(11)- Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
- Classical and generalized solutions of fractional stochastic differential equations
- scientific article; zbMATH DE number 4178270 (Why is no real title available?)
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Reciprocal diffusions and stochastic differential equations of second order∗
- scientific article; zbMATH DE number 1343499 (Why is no real title available?)
- scientific article; zbMATH DE number 721932 (Why is no real title available?)
- Linear Parabolic Stochastic PDE and Wiener Chaos
- scientific article; zbMATH DE number 5034022 (Why is no real title available?)
- Stochastic Differential Equations: A Wiener Chaos Approach
- On generalized Malliavin calculus
This page was built for publication: Stochastic Parabolic Equations of Full Second Order
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3521467)
