Representation of functionals of Ito processes and their first exit times

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Taylor & Francis 2011
Subjects:	stochastic processes backward - SPDEs first exit times SPDEs Ito processes representation theorem
Online Access:	http://hdl.handle.net/20.500.11937/13137

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