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On Kolmogorov’s equations for finite dimensional diffusions

Part of the Lecture Notes in Mathematics book series (LNMCIME,volume 1715)

1991 Mathematics Subject Classification

  • 58G32
  • 60J60
  • 60J65
  • Key words and phrases
  • Stochastic equations
  • Kolmogorov’s equations

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References

  • [KO] A.N. Kolmogorov, Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung, Math. Ann., Vol. 104 (1931), 415–458.

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  • [KR] N.V. Krylov, “Nonlinear elliptic and parabolic equations of second order”, Nauka, Moscow, 1985 in Russian; English translation: Reidel, Dordrecht, 1987.

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  • [KR1] N.V. Krylov and B.L. Rozovsky, Stochastic evolution equations, “Itogy nauki i tekhniki”, Vol. 14, VINITI, Moscow, 1979, 71–146 in Russian; English translation in J. Soviet Math., Vol. 16, No. 4 (1981), 1233–1277.

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  • [M] P.A. Meyer, “Probability and potentials”, Blaisdell Publishing Company, A Division of Ginn and Company, Waltham, Massachusetts, Toronto, London, 1966.

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© 1999 Springer-Verlag

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Krylov, N.V. (1999). On Kolmogorov’s equations for finite dimensional diffusions. In: Da Prato, G. (eds) Stochastic PDE’s and Kolmogorov Equations in Infinite Dimensions. Lecture Notes in Mathematics, vol 1715. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0092417

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  • DOI: https://doi.org/10.1007/BFb0092417

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-66545-8

  • Online ISBN: 978-3-540-48161-4

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