On existence and uniqueness properties for solutions of stochastic fixed point equations
dc.contributor.author
Beck, Christian
dc.contributor.author
Gonon, Lukas
dc.contributor.author
Hutzenthaler, Martin
dc.contributor.author
Jentzen, Arnulf
dc.date.accessioned
2022-09-21T17:07:20Z
dc.date.available
2019-09-17T09:33:56Z
dc.date.available
2019-09-18T09:01:00Z
dc.date.available
2022-09-21T17:07:20Z
dc.date.issued
2019-09
dc.identifier.uri
http://hdl.handle.net/20.500.11850/364399
dc.description.abstract
The Feynman--Kac formula implies that every suitable classical solution of a semilinear Kolmogorov partial differential equation (PDE) is also a solution of a certain stochastic fixed point equation (SFPE). In this article we study such and related SFPEs. In particular, the main result of this work proves existence of unique solutions of certain SFPEs in a general setting. As an application of this main result we establish the existence of unique solutions of SFPEs associated with semilinear Kolmogorov PDEs with Lipschitz continuous nonlinearities even in the case where the associated semilinear Kolmogorov PDE does not possess a classical solution
en_US
dc.language.iso
en
en_US
dc.publisher
Seminar for Applied Mathematics, ETH Zurich
en_US
dc.title
On existence and uniqueness properties for solutions of stochastic fixed point equations
en_US
dc.type
Report
dc.date.published
2019-09-03
ethz.journal.title
SAM Research Report
ethz.journal.volume
2019-47
en_US
ethz.size
34 p.
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03874 - Hungerbühler, Norbert / Hungerbühler, Norbert
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03874 - Hungerbühler, Norbert / Hungerbühler, Norbert
ethz.identifier.url
https://math.ethz.ch/sam/research/reports.html?id=851
ethz.date.deposited
2019-09-17T09:34:07Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2019-09-18T09:01:10Z
ethz.rosetta.lastUpdated
2023-02-07T06:29:50Z
ethz.rosetta.versionExported
true
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