Work

Some remarks on Itô stochastic processes

Year: 2025

Type: article

Abstract: A new inequality in $ L^d $ of Krylov type for Bass-Chen diffusion processes is established in this work through an overview revisiting various aspects of Itô-Tanaka tricks for non-degenerated diffusion processes. Linear PDEs or Monge-Ampère equations are involved in the following cases where the diffusion coefficient matrix is identity or not.

Source: Discrete and Continuous Dynamical Systems - S

DOI: 10.3934/dcdss.2025053

Authors: Shizan Fang, Rongrong Tian

Institutions: Centre National de la Recherche Scientifique, Université de Bourgogne, Institut de Mathématiques de Bourgogne

Language: English

Topic: Nonlinear Partial Differential Equations

Subfield: Applied Mathematics

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

Funders: National Natural Science Foundation of China, Beijing Normal University, China Scholarship Council

Award: G791724756