A Feynman-Kac formula for stochastic Dirichlet problems

Máté Gerencsér; Istvan Gyongy

doi:10.1016/j.spa.2018.04.003

A Feynman-Kac formula for stochastic Dirichlet problems

Máté Gerencsér, Istvan Gyongy

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the Itô sense.

Original language	English
Pages (from-to)	995-1012
Number of pages	18
Journal	Stochastic processes and their applications
Volume	129
Issue number	3
Early online date	17 Apr 2018
DOIs	https://doi.org/10.1016/j.spa.2018.04.003
Publication status	Published - Mar 2019

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10.1016/j.spa.2018.04.003

https://arxiv.org/abs/1611.04177

Istvan Gyongy
- School of Mathematics - PERSONAL CHAIR IN PROBABILITY
Person: Academic: Research Active

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title = "A Feynman-Kac formula for stochastic Dirichlet problems",

abstract = "A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the It{\^o} sense.",

author = "M{\'a}t{\'e} Gerencs{\'e}r and Istvan Gyongy",

year = "2019",

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AB - A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the Itô sense.

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DO - 10.1016/j.spa.2018.04.003

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JO - Stochastic processes and their applications

JF - Stochastic processes and their applications

SN - 0304-4149

IS - 3

ER -

A Feynman-Kac formula for stochastic Dirichlet problems

Abstract

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Istvan Gyongy

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