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Construction of a solution of a certain evolution equation
Published online by Cambridge University Press: 22 January 2016
Extract
Let us consider the stochastic differential equation,
with initial condition,
where Bt, t ≧ 0,is a one-dimensional Brownian motion, and Lxis a second order uniformly elliptic partial differential operator satisfying some additional conditions that will be described in §2. The existence and the uniqueness of solutions of the Cauchy problem have been established by B. L. Rozovskii [8].
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- Copyright © Editorial Board of Nagoya Mathematical Journal 1977
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