Representation of functionals of Ito processes and their first exit times

Details Representation of functionals of Ito processes and their first exit times Representation of functionals of Ito processes and their first exit times

2006-06-23

arxiv.org/abs/math/0606601v2

Mathematics

Probability

25 pages

Scientific paper

The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for conditional probability density functions of Ito processes being killed on the boundary. In addition, a maximum principle and a contraction property are established for SPDEs in bounded domains.

Affiliated with

Also associated with

No associations

Rating

Representation of functionals of Ito processes and their first exit times does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Representation of functionals of Ito processes and their first exit times, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Representation of functionals of Ito processes and their first exit times will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-529786