Boundary value problems for functionals of Ito processes
Probability
2012-09-10 v1 Analysis of PDEs
Abstract
Backward stochastic partial differential equations in bounded and unbounded domains are studied. Existence and regularity results are obtained. Duality relationship with forward SPDEs are established. Representation of functionals of Ito processes in bounded domains is discussed.
Keywords
Cite
@article{arxiv.1209.1431,
title = {Boundary value problems for functionals of Ito processes},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1209.1431},
year = {2012}
}