Boundary value problems for functionals of Ito processes

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.

Cited by in corpus (2)

• Backward parabolic Ito equations and second fundamental inequality
• Representation of functionals of Ito processes and their first exit times