| Title |
Singuliarių parabolinių lygčių, susijusių su stochastinėmis diferencialinėmis lygtimis, sprendinių egzistavimas / |
| Translation of Title |
Existence of solution of singular parabolic equations related to stochastic differential equations. |
| Authors |
Mongirdaitė, Gabrielė |
| Full Text |
|
| Pages |
32 |
| Abstract [eng] |
Existence of Solution of Singular Parabolic Equations Related to Stochastic Differential Equations We consider the existence of solutions of singular parabolic equations related to stochastic differential equations (SDE). We have modified and applied Kunita theory of stochastic flows to SDE with smooth coefficients. Then we extend the class of considered SDE to a class of SDEs with strictly positive solutions. Using the obtained result, we prove, in particular, the existence of a smooth solution of the Kolmogorov backward equation corresponding to the CIR process. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2016 |
