Direct solutions of Kolmogorov's equations by stochastic flows
type: Item
instance of: scholarly article
title: Direct solutions of Kolmogorov's equations by stochastic flows
zbMATH Open document ID: 0678.60045
DOI: 10.1016/0022-247X(89)90160-1
author: Robert J. Elliott
author: P. Ekkehard Kopp
published in: Journal of Mathematical Analysis and Applications
publication date: 1989-01-01T00:00:00Z
review text: Solutions of Kolmogorov's forward and backward equations are derived directly by differentiation in the time variable of a family of conditional expectations. The differentiation is justified from the theory of stochastic flows. In this way, the solutions can be given separately, without making use of the equations simultaneously.
Mathematics Subject Classification ID: 60H15
zbMATH DE Number: 4111708
zbMATH Keywords: Kolmogorov's equations
zbMATH Keywords: stochastic flows
reviewed by: Michael Kohlmann
MaRDI profile type: Publication
cites work: Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
cites work: A short proof of a martingale representation result
cites work: Q4726159
cites work: Q3042118
cites work: On backward stochastic differential equations
description: scientific article; zbMATH DE number 4111708