• Title of article

    On the viscosity solutions of a stochastic differential utility problem

  • Author/Authors

    Fabio Antonelli، نويسنده , , Andrea Pascucci، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2002
  • Pages
    19
  • From page
    69
  • To page
    87
  • Abstract
    We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for the following equation in : ∂xxu+u∂yu−∂tu=f(•,u),where f is Lipschitz continuous. We also characterize the solution in the vanishing viscosity sense
  • Keywords
    Burgers’ equation , Stochastic differential utility , Bernstein’s method
  • Journal title
    JOURNAL OF DIFFERENTIAL EQUATIONS
  • Serial Year
    2002
  • Journal title
    JOURNAL OF DIFFERENTIAL EQUATIONS
  • Record number

    750325

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=750325