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arXiv · 1209.1431

Boundary value problems for functionals of Ito processes

Nikolai Dokuchaev
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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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Nikolai Dokuchaev. 2012-09-07. Boundary value problems for functionals of Ito processes. https://doi.org/10.1137/1136056

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