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Uniqueness for a class of one-dimensional stochastic PDEs using moment duality
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UNSPECIFIED (2000) Uniqueness for a class of one-dimensional stochastic PDEs using moment duality. ANNALS OF PROBABILITY, 28 (4). pp. 1711-1734. ISSN 0091-1798.
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Abstract
We establish a duality relation for the moments of bounded solutions to a class of one-dimensional parabolic stochastic partial differential equations. The equations are driven by multiplicative space-time white noise, with a non-Lipschitz multiplicative functional. The dual process is a system of branching Brownian particles. The same method can be applied to show uniqueness in law for a class of non-Lipschitz finite dimensional stochastic differential equations.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | ANNALS OF PROBABILITY | ||||
Publisher: | INST MATHEMATICAL STATISTICS | ||||
ISSN: | 0091-1798 | ||||
Official Date: | October 2000 | ||||
Dates: |
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Volume: | 28 | ||||
Number: | 4 | ||||
Number of Pages: | 24 | ||||
Page Range: | pp. 1711-1734 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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