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Resolution des systemes d’equations de diffusion par les integrales stochastiques d’Ito

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Séminaire de Théorie du Potentiel Paris, No. 6

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 906))

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Nous considérons un système de m équations de diffusion définies sur un ouvert connexe ε ⊂ ℝd: .

Sous certaines conditions relatives à la frontière ∂ε, aux coefficients aji, c hkji et gji, et à la donnée initiale (fi)i≤m, nous exprimons, au moyen des intégrales stochastiques d’Ito, la solution ϕε pour t≥0.

Cet article est le complément de l’exposé du 6/3/80: “Processus de diffusion multigroupe—Frontières fixes et variables”.

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Authors and Affiliations

  1. 9, rue Poliveau, 75005, Paris

    M. Mastrangelo

  2. Equipe d’analyse, Université Paris 6, Tour 46 4, Place Jussieu, 75230, Paris Cedex 05

    M. Mastrangelo

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  1. M. Mastrangelo
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Francis Hirsch Gabriel Mokobodzki

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© 1982 Springer-Verlag

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Mastrangelo, M. (1982). Resolution des systemes d’equations de diffusion par les integrales stochastiques d’Ito. In: Hirsch, F., Mokobodzki, G. (eds) Séminaire de Théorie du Potentiel Paris, No. 6. Lecture Notes in Mathematics, vol 906. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0093270

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  • DOI: https://doi.org/10.1007/BFb0093270

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11185-6

  • Online ISBN: 978-3-540-38971-2

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