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While a stochastic oscillatory integral with quadratic Wiener functional as phase function has a general representation via Carleman- Fredholm determinant ([3, 6, 10]), in
These were used to give rigorous meaning to stochastic partial differential equations (s.p.d.e.’s), primarily parabolic equations driven by space-time white noise, though Walsh
In this paper we establish a stochastic formula to calculate the symbol of a class of Markov processes which we then apply to the solutions of certain stochastic differential
Abstract: In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process.. (2)
Bensoussan, Some existence results for stochastic partial differential equa- tions , in Stochastic Partial Differential Equations and Applications, G. Tubaro, eds.,
Keywords Wiener space, Sobolev space, Stochastic integral, Fractional Brownian Motion, Itˆ o’s formula.. AMS Subject Classification (1991)
On the other hand, the study of these equations fits nicely into the the larger context of (stochastic) partial differential equations, in particular Hamilton-Jacobi, heat
