A simple PDE and Wiener‐Hopf Riccati equations

DOI10.1002/cpa.20081zbMath1082.35173OpenAlexW2124918597MaRDI QIDQ5463335

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Publication date: 4 August 2005

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.20081

zbMATH Keywords

nonnegative solutionRiccati equationminimum principleWiener-Hopf theoryFeller's type

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)

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Cites Work

• Unnamed Item
• Indefinite inner products: a simple illustrative example

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