Abstract
In this chapter we continue the study of the Cauchy problem for second-order parabolic Itô equations, this time concentrating on qualitative, rather than analytical, aspects of the problem. The main objective is to establish various connections between these equations and diffusion processes.
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Rozovsky, B.L., Lototsky, S.V. (2018). Itô’s Partial Differential Equations and Diffusion Processes. In: Stochastic Evolution Systems. Probability Theory and Stochastic Modelling, vol 89. Springer, Cham. https://doi.org/10.1007/978-3-319-94893-5_5
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DOI: https://doi.org/10.1007/978-3-319-94893-5_5
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