A Feynman–Kac formula for stochastic Dirichlet problems
Gerencser M, Gyöngy I. 2019. A Feynman–Kac formula for stochastic Dirichlet problems. Stochastic Processes and their Applications. 129(3), 995–1012.
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Author
Gerencser, MateISTA;
Gyöngy, István
Department
Abstract
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the Itô sense.
Publishing Year
Date Published
2019-03-01
Journal Title
Stochastic Processes and their Applications
Volume
129
Issue
3
Page
995-1012
IST-REx-ID
Cite this
Gerencser M, Gyöngy I. A Feynman–Kac formula for stochastic Dirichlet problems. Stochastic Processes and their Applications. 2019;129(3):995-1012. doi:10.1016/j.spa.2018.04.003
Gerencser, M., & Gyöngy, I. (2019). A Feynman–Kac formula for stochastic Dirichlet problems. Stochastic Processes and Their Applications. Elsevier. https://doi.org/10.1016/j.spa.2018.04.003
Gerencser, Mate, and István Gyöngy. “A Feynman–Kac Formula for Stochastic Dirichlet Problems.” Stochastic Processes and Their Applications. Elsevier, 2019. https://doi.org/10.1016/j.spa.2018.04.003.
M. Gerencser and I. Gyöngy, “A Feynman–Kac formula for stochastic Dirichlet problems,” Stochastic Processes and their Applications, vol. 129, no. 3. Elsevier, pp. 995–1012, 2019.
Gerencser M, Gyöngy I. 2019. A Feynman–Kac formula for stochastic Dirichlet problems. Stochastic Processes and their Applications. 129(3), 995–1012.
Gerencser, Mate, and István Gyöngy. “A Feynman–Kac Formula for Stochastic Dirichlet Problems.” Stochastic Processes and Their Applications, vol. 129, no. 3, Elsevier, 2019, pp. 995–1012, doi:10.1016/j.spa.2018.04.003.
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