Markov processes with quasi-linear parabolic forward differential equation
نویسندگان
چکیده
منابع مشابه
Markov processes and parabolic partial differential equations
In the first part of this article, we present the main tools and definitions of Markov processes’ theory: transition semigroups, Feller processes, infinitesimal generator, Kolmogorov’s backward and forward equations and Feller diffusion. We also give several classical examples including stochastic differential equations (SDEs) and backward SDEs (BSDEs). The second part of this article is devote...
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ژورنال
عنوان ژورنال: Advances in Mathematics
سال: 1976
ISSN: 0001-8708
DOI: 10.1016/0001-8708(76)90021-9