Markovian integral equations
File(s)Markovian integral equations - accepted version.pdf (472.3 KB)
Accepted version
Author(s)
Kalinin, Alexander
Type
Journal Article
Abstract
We analyze multidimensional Markovian integral equations that are formulated
with a time-inhomogeneous progressive Markov process that has Borel measurable
transition probabilities. In the case of a path-dependent diffusion process,
the solutions to these integral equations lead to the concept of mild solutions
to semilinear parabolic path-dependent partial differential equations (PPDEs).
Our goal is to establish uniqueness, stability, existence, and
non-extendibility of solutions among a certain class of maps. By requiring the
Feller property of the Markov process, we give weak conditions under which
solutions become continuous. Moreover, we provide a multidimensional
Feynman-Kac formula and a one-dimensional global existence- and uniqueness
result.
with a time-inhomogeneous progressive Markov process that has Borel measurable
transition probabilities. In the case of a path-dependent diffusion process,
the solutions to these integral equations lead to the concept of mild solutions
to semilinear parabolic path-dependent partial differential equations (PPDEs).
Our goal is to establish uniqueness, stability, existence, and
non-extendibility of solutions among a certain class of maps. By requiring the
Feller property of the Markov process, we give weak conditions under which
solutions become continuous. Moreover, we provide a multidimensional
Feynman-Kac formula and a one-dimensional global existence- and uniqueness
result.
Date Issued
2020-02
Date Acceptance
2019-01-14
Citation
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020, 56 (1), pp.155-174
ISSN
0246-0203
Publisher
Institute Henri Poincaré
Start Page
155
End Page
174
Journal / Book Title
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques
Volume
56
Issue
1
Copyright Statement
© 2020 Institut Henri Poincaré
Identifier
http://arxiv.org/abs/1701.03272v2
Subjects
math.PR
math.PR
math.AP
45G15, 60H30, 60J25, 60J68, 35K40, 35K59
Publication Status
Published
Date Publish Online
2020-02-03