A Generalized Feynman-Kac Formula for the Stochastic Heat Problem with Anticipating Initial Conditions

  • Fred Espen Benth
Conference paper
Part of the Progress in Probability book series (PRPR, volume 38)

Abstract

Using White Noise Analysis, we construct a Feynman-Kac formula for the stochastic heat equation with anticipating initial conditions. The obtained solution has applications to nonlinear filtering and heat transport with noise.

Keywords

Convolution 

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Copyright information

© Birkhäuser Boston 1996

Authors and Affiliations

  • Fred Espen Benth
    • 1
    • 2
  1. 1.University of OsloOsloNorway
  2. 2.University of Mannheim A5MannheimGermany

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