Boundary value problems for functionals of Ito processes

Published 7 Sep 2012 in math.PR and math.AP | (1209.1431v1)

Abstract: Backward stochastic partial differential equations in bounded and unbounded domains are studied. Existence and regularity results are obtained. Duality relationship with forward SPDEs are established. Representation of functionals of Ito processes in bounded domains is discussed.

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Authors (1)

Nikolai Dokuchaev

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