A general analytical result for non-linear SPDE's and applications.
Denis, Laurent, Stoica, L. (2004)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “Fredholm determinant of an integral operator driven by a diffusion process.”
A general analytical result for non-linear SPDE's and applications.
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Some estimates on exponentials of solutions to stochastic differential equations.
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Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Romain Abraham, Olivier Riviere (2006)
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We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for...