Representation of functionals of Ito processes and their first exit times
MetadataShow full item record
The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for conditional probability density unctions of Ito processes killed on the boundary. In addition, a maximum principle and a contraction property are established for SPDEs in bounded domains.
Showing items related by title, author, creator and subject.
Kirby, Nigel Matthew (2003)The widespread use of high temperature superconductors through improved understanding of their underlying physics is in part dependent on the synthesis of large, high quality single crystals for physical research. Crucible ...
A grounded theory study of the clinical use of the nursing process within selected hospital settings.O'Connell, Beverly O. (1997)The nursing process is the espoused problem solving framework that forms the basis of the way in which patient care is determined, delivered, and communicated in a multiplicity of health care settings. Although its use ...
Size exclusion chromatography as a tool for natural organic matter characterisation in drinking water treatmentAllpike, Bradley (2008)Natural organic matter (NOM), ubiquitous in natural water sources, is generated by biogeochemical processes in both the water body and in the surrounding watershed, as well as from the contribution of organic compounds ...