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Licensed Unlicensed Requires Authentication Published by De Gruyter February 25, 2012

Backward parabolic Ito equations and the second fundamental inequality

  • Nikolai Dokuchaev EMAIL logo

Abstract.

Regularity of solutions is studied for backward stochastic parabolic Ito equations. An analog of the second fundamental inequality (second energy estimate) and the related existence theorem are obtained for domains with boundary. This result leads to a representation theorem for non-Markov processes in bounded domains and other applications.

Received: 2010-09-06
Accepted: 2011-10-12
Published Online: 2012-02-25
Published in Print: 2012-March

© 2012 by Walter de Gruyter Berlin Boston

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