Parabolic Ito equations with mixed in time conditions
Abstract
We study linear stochastic partial differential equations of parabolic type with special boundary conditions in time. The standard Cauchy condition at the initial time is replaced by a condition that mixes the values of the solution at different times, including the terminal time and continuously distributed times. Uniqueness, solvability and regularity results for the solutions are obtained.
Citation
Dokuchaev, Nikolai. 2008. Parabolic Ito equations with mixed in time conditions. Stochastic Analysis and Applications. 26 (3): pp. 562-576.
Source Title
Stochastic Analysis and Applications
ISSN
School
Department of Mathematics and Statistics
Collection
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