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.
[KR89] N.V. Krylov, Smoothness of the value function for a controlled diffusion process in a domain, Izvestija Akademii Nauk SSSR, serija matematicheskaja, Vol. 53, No. 1 (1989), 66–96 in Russian; English translation: Russian Acad. Sci. Izv. Math., Vol. 34, No. 1 (1990), 65–96.
[KR92] N.V. Krylov, On first quasiderivatives of solutions of Itô’s stochastic equations, Izvestija Akademii Nauk SSSR, serija matematicheskaja, Vol. 56, No. 2 (1992), 398–426 in Russian; English translation: Russian Acad. Sci. Izv. Math., Vol. 40, No. 2 (1992), 377–403.
[KR] N.V. Krylov, “Nonlinear elliptic and parabolic equations of second order”, Nauka, Moscow, 1985 in Russian; English translation: Reidel, Dordrecht, 1987.
[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.
[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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