Parabolic equations and Itô's stochastic equations with coefficients discontinuous in the time variable

DOI10.1007/BF01138937zbMath0563.60056MaRDI QIDQ1057570

Alexander Yu. Veretennikov

Publication date: 1982

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

existence and uniqueness theorems for the Cauchy problemItô's integral equations

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Stochastic integral equations (60H20)

Related Items (10)

On the Poisson equation and diffusion approximation. I ⋮ Backward stochastic differential equations with random stopping time and singular final condition ⋮ Backward stochastic differential equations with singular terminal condition ⋮ Optimal Cross Hedging of Insurance Derivatives ⋮ On Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov Equation ⋮ On Bellman's equations for mean and variance control of a Markov diffusion ⋮ On the Poisson equation and diffusion approximation. III ⋮ A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: the one-dimensional case ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations

Cites Work

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• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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