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Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac
Work
Year: 2017
Type: article
Abstract: We discuss regular and weak solutions to rough partial differential equations (RPDEs), thereby providing a (rough path-)wise view on important classes of SPDEs. In contrast to many previous works on R... more
Source: Annales de la faculté des sciences de Toulouse Mathématiques
Authors Joscha Diehl, Peter K. Friz, Wilhelm Stannat
Institutions University of California, San Diego, Technische Universität Berlin
Cites: 33
Cited by: 27
Related to: 10
FWCI: 3.999
Citation percentile (by year/subfield): 99.99
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: bronze