Representation of functionals of Ito processes and their first exit times

DOI10.1080/17442508.2010.510907zbMath1221.60091arXivmath/0606601OpenAlexW2003974174MaRDI QIDQ3017888

Nikolai G. Dokuchaev

Publication date: 20 July 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0606601

zbMATH Keywords

representation theoremstochastic processesfirst exit timesSPDEsItô processesbackward SPDEs

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Degenerate backward SPDEs in bounded domains and applications to barrier options ⋮ On forward and backward SPDEs with non-local boundary conditions

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