A Feynman-Kac formula for stochastic Dirichlet problems

被引：0

作者：

Gerencser, Mate ^{[1
]}

Gyongy, Istvan ^{[2
]}

机构：

[1] IST Austria, Klosterneuburg, Austria

[2] Univ Edinburgh, Edinburgh, Midlothian, Scotland

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2019年 / 129卷 / 03期

关键词：

Stochastic PDEs; Dirichlet boundary condition; Method of characteristics;

D O I：

10.1016/j.spa.2018.04.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the Ito sense. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：995 / 1012

页数：18

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