24 citations · 66 across the 29 of their papers we have counts for
8 papers · 1 filter
Approximating the value functions for stochastic differential games with the ones having bounded second derivatives
N. V. Krylov
We show a method of uniform approximation of the value functions of uniformly nondegenerate stochastic differential games in smooth domains up to a constant over with the ones…
On the independence of the value function for stochastic differential games of the probability space
N. V. Krylov
We show that the value function in a stochastic differential game does not change if we keep the same space but introduce probability measures by means of Girsano…
Hypoellipticity for filtering problems of partially observable diffusion processes
N. V. Krylov
We prove that under Hörmander's type conditions on the coefficients of the unobservable component of a partially observable diffusion process the filtering density is infinitely di…
Hörmander's theorem for stochastic partial differential equations
N. V. Krylov
We prove Hörmander's type hypoellipticity theorem for stochastic partial differential equations when the coefficients are only measurable with respect to the time variable. The nee…
On singularity as a function of time of a conditional distribution of an exit time
N. V. Krylov
We establish the singularity with respect to Lebesgue measure as a function of time of the conditional probability that the sum of two one-dimensional Brownian motions will exit fr…
A relatively short proof of Itô's formula for SPDEs and its applications
N. V. Krylov
We give a short proof of Itô's formula for stochastic Hilbert-space valued processes in the setting based on the possibility to lift the stochastic differ…
Itô's formula for the -norm of stochastic -valued processes
N. V. Krylov
We prove Itô's formula for the -norm of a stochastic -valued processes appearing in the theory of SPDEs in divergence form.
On divergence form SPDEs with VMO coefficients in a half space
N. V. Krylov
We extend several known results on solvability in the Sobolev spaces , , of SPDEs in divergence form in $\bR^{d}_{+}$ to equations having coefficients wh…