Timeline for Feynman-Kac theorem: probabilistic proof of existence of solution to parabolic PDE
Current License: CC BY-SA 3.0
6 events
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| Feb 27, 2023 at 21:01 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jan 28, 2023 at 20:31 | answer | added | Thomas Kojar | timeline score: 1 | |
| May 8, 2014 at 7:42 | comment | added | user31090 | Just for clarity: You certainly do not need $b, \sigma$ to be $C^2$ for there to exist a unique (strong) solution to the SDE. There are lots of weaker conditions under which it holds, the most common being $b, \sigma$ globally Lipschitz. | |
| May 8, 2014 at 3:37 | comment | added | Noah Schweber | This doesn't seem to have anything to do with the question being asked. | |
| May 8, 2014 at 3:32 | comment | added | chinese communist | of course $b,σ,f$ are all twice continuously differentiable ! see : www1.se.cuhk.edu.hk/~seem5670/lecturenotes/Lecture5.pdf if $b,σ,f$ are not twice differentiable, how to define the stochastic differential equation ? $dX_{t}=\beta(t,X_{t})du+\gamma(t,X_{t})dW_{t}$ if we can not define the stochastic equation, how to transform it to Cauchy problem ? if you want to use the holder condition to study this stochastic differential equation, i suggest this paper : math.ucla.edu/~samxu/FeynmanKac.pdf is it helpful ? thank you ! | |
| Mar 28, 2014 at 10:24 | history | asked | user31090 | CC BY-SA 3.0 |