A Feynman-Kac formula for stochastic Dirichlet problems

DOI10.1016/j.spa.2018.04.003zbMath1418.60076arXiv1611.04177OpenAlexW2563069161WikidataQ129961542 ScholiaQ129961542MaRDI QIDQ1730943

Máté Gerencsér, István Gyöngy

Publication date: 6 March 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.04177

zbMATH Keywords

Dirichlet boundary conditionmethod of characteristicsstochastic PDEs

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• On some properties of space inverses of stochastic flows
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Characteristics of degenerate second-order parabolic Ito equations
• A \(W_ 2^ n\)-theory of the Dirichlet problem for SPDEs in general smooth domains
• On the solvability of degenerate stochastic partial differential equations in Sobolev spaces
• On stochastic partial differential equations with variable coefficients in \(C^1\) domains
• Localization errors in solving stochastic partial differential equations in the whole space
• Stochastic parabolic equations in bounded domains: random evolution operator and lyapunov exponents
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