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A pde approach to small stochastic perturbations of Hamiltonian flows

✍ Scribed by Hitoshi Ishii; Panagiotis E. Souganidis

Book ID
113699214
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
306 KB
Volume
252
Category
Article
ISSN
0022-0396

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πŸ“œ SIMILAR VOLUMES

A small elliptic perturbation of a backw
A small elliptic perturbation of a backward-forward parabolic problem with applications to stochastic models
✍ D Dominici; C Knessl πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 413 KB

## Communicated by J. R. Ockendon Abstract--We consider an elliptic PDE in two variables. As one parameter approaches zero, this PDE collapses to a parabolic one, that is forward parabolic in a part of the domain and backward parabolic in the remainder. Such problems arise naturally in various sto