Generalized Solutions of Linear Parabolic Stochastic Partial Differential Equations
Copyright policy )Generalized Solutions of Linear Parabolic Stochastic Partial Differential Equations
Two Cauchy problems are considered for parabolic stochastic partial differential equations in the sense of generalized solutions where multiplicative noise terms are defined by Hitsuda-Skorokhod integrals with respect to space time white noise processes. Existence and uniqueness theorems are proved by using the generalized Feynman-Kac formula, the Girsanov formula and the S-transformation.
- Okayama University of Science Japan
- University of Mannheim Germany
generalized solution, Stochastic partial differential equations (aspects of stochastic analysis), Girsanov formula, Stochastic calculus of variations and the Malliavin calculus, stochastic Cauchy problem, Feynman-Kac formula, 510
generalized solution, Stochastic partial differential equations (aspects of stochastic analysis), Girsanov formula, Stochastic calculus of variations and the Malliavin calculus, stochastic Cauchy problem, Feynman-Kac formula, 510
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