Semigroup solution of path-dependent second-order parabolic partial differential equations

DOI10.1155/2017/2876961zbMath1412.60091OpenAlexW2593368009WikidataQ59145079 ScholiaQ59145079MaRDI QIDQ1794086

Sixian Jin, Henry Schellhorn

Publication date: 15 October 2018

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/2876961

zbMATH Keywords

parabolic partial differential equationsMalliavin derivativepath-dependent heat equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Second-order parabolic equations (35K10)

Cites Work

• Functional Itō calculus and stochastic integral representation of martingales
• On viscosity solutions of path dependent PDEs
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• A representation theorem for smooth Brownian martingales
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item