All Questions
Tagged with stochastic-calculus ap.analysis-of-pdes
7 questions
2
votes
1
answer
755
views
Existence of a solution to an infinite dimensional Stratonovich SDE
Let
$U,H$ be separable $\mathbb R$-Hilbert spaces
$Q\in\mathfrak L(U)$ be nonnegative and self-adjoint with finite trace
$U_0:=Q^{1/2}U$
$(\Omega,\mathcal A,(\mathcal F_t)_{t\ge 0},\operatorname P)$ ...
- 167
1
vote
1
answer
654
views
Properties of the trace term in the Itō formula
Let's consider the SDE $${\rm d}X_t=u_t(X_t){\rm d}t+\xi_t(X_t){\rm d}W_t\;\;\;\text{for all }t\ge 0\tag 1$$ where
$U,H$ are separable $\mathbb R$-Hilbert spaces
$Q\in\mathfrak L(U)$ is nonnegative ...
- 167
7
votes
2
answers
879
views
Reference for Feynman-Kac
I would like to have a reference with more in deep explanation of Feynman-Kac than in Evan's An Introduction to Stochastic Differential Equations and, if possible, example of solution for equations ...
- 73
4
votes
1
answer
211
views
Local solutions of renormalized stochastic PDE
To illustrate the problem consider the mild formulation of the $\Phi^4_2$ model on $[0,T]\times \mathbb{T}^d$: $$\phi=P_r\phi_0+\int_0^rP_{r-q}(-\phi^3(q))dq+Y_r \ \ \ \ \ \ (1)$$ where $(P_r)_{r \...
- 573
2
votes
1
answer
697
views
Reference for representation of heat equation with Neumann boundary condition on smooth domain using reflected Brownian motion
We know that the solution of the heat equation $\partial_tu=\frac 12\Delta u$ with Dirichlet boundary condition $u\rvert_{\partial\Omega}=g$ is $u(t,x)=\mathbb{E}[g(B_\tau)\mid B_t=x]$, with $\tau$ ...
- 715
2
votes
1
answer
702
views
Correction term in the relation between the Itō and Stratonovich integrals in Hilbert spaces
I'm reading the paper On the relation between the Itō and Stratonovich integrals in Hilbert spaces and there is something I don't understand.
In the notation of the paper, let
$H,H_1$ be separable $\...
- 167
2
votes
1
answer
136
views
Does higher volatility of SDE imply lower probability of staying positive?
Given two SDEs $X^1$, $X^2$ :
$$X^i_t=1+t+\int_0^t\sigma_i(s)dW_s,\quad \forall t\ge 0,$$
where $\sigma_i:\mathbb R_+\to [1/2,1]$ are non-decreasing s.t. $\sigma_1(t)\le \sigma_2(t)$ for all $t\ge 0$....
- 1,334