Characteristics of degenerate second-order parabolic Ito equations

DOI10.1007/BF01095048zbMath0584.60068MaRDI QIDQ1069557

Boris L. Rosovskii, Nicolai V. Krylov

Publication date: 1986

Published in: Journal of Soviet Mathematics (Search for Journal in Brave)

zbMATH Keywords

Sobolev spaceCauchy problemgeneralized solutionFeynman-Kac representationdegenerate second order Ito parabolic equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

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Cites Work

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• On the Ito-Venttsel formula
• Stochastic partial differential equations and filtering of diffusion processes
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
• Stationary Stochastic Processes. (MN-8)

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