Representation of functionals of Ito processes in bounded domains via parabolic Ito equations
نویسنده
چکیده
Representation of functionals of non-Markov processes is studied for bounded and unbounded domains. These functionals are represented via solutions of backward parabolic Ito equations. This results is based on an analog of the second fundamental inequality and the related existence theorem are obtained for backward parabolic Ito equations. AMS 1991 subject classification: Primary 60J55, 60J60, 60H10. Secondary 34F05, 34G10.
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تاریخ انتشار 2008