Representation of functionals of Ito processes and their first exit times
The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for...
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| Format: | Journal Article |
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Taylor & Francis
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/13137 |
| _version_ | 1848748267977834496 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for conditional probability density unctions of Ito processes killed on the boundary. In addition, a maximum principle and a contraction property are established for SPDEs in bounded domains. |
| first_indexed | 2025-11-14T07:02:20Z |
| format | Journal Article |
| id | curtin-20.500.11937-13137 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:02:20Z |
| publishDate | 2011 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-131372017-09-13T15:54:08Z Representation of functionals of Ito processes and their first exit times Dokuchaev, Nikolai stochastic processes backward - SPDEs first exit times SPDEs Ito processes representation theorem The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for conditional probability density unctions of Ito processes killed on the boundary. In addition, a maximum principle and a contraction property are established for SPDEs in bounded domains. 2011 Journal Article http://hdl.handle.net/20.500.11937/13137 10.1080/17442508.2010.510907 Taylor & Francis fulltext |
| spellingShingle | stochastic processes backward - SPDEs first exit times SPDEs Ito processes representation theorem Dokuchaev, Nikolai Representation of functionals of Ito processes and their first exit times |
| title | Representation of functionals of Ito processes and their first exit times |
| title_full | Representation of functionals of Ito processes and their first exit times |
| title_fullStr | Representation of functionals of Ito processes and their first exit times |
| title_full_unstemmed | Representation of functionals of Ito processes and their first exit times |
| title_short | Representation of functionals of Ito processes and their first exit times |
| title_sort | representation of functionals of ito processes and their first exit times |
| topic | stochastic processes backward - SPDEs first exit times SPDEs Ito processes representation theorem |
| url | http://hdl.handle.net/20.500.11937/13137 |