Probabilistic interpretation of second-order PDEs
Relationship between probabilities and partial differential equations
Article REF: A565 V1
Probabilistic interpretation of second-order PDEs
Relationship between probabilities and partial differential equations

Author : Jean-Pierre FOUQUE

Publication date: April 10, 1996 | Lire en français

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4. Probabilistic interpretation of second-order PDEs

Here, we express solutions of elliptic and parabolic second-order PDEs with various types of edge conditions, as expectations of functionals of properly chosen Markov processes. We refer to for further details and references.

4.1 Interpretation of elliptic PDEs

Let b be of ℝd...

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