Backward Itô-Ventzell and stochastic interpolation formulae
Langue
en
Rapport
Ce document a été publié dans
2019-06-21
Résumé en anglais
We present a novel backward Itô-Ventzell formula and an extension of the Aleeksev-Gr\"obner interpolating formula to stochastic flows. We also present some natural spectral conditions that yield direct and simple proofs ...Lire la suite >
We present a novel backward Itô-Ventzell formula and an extension of the Aleeksev-Gr\"obner interpolating formula to stochastic flows. We also present some natural spectral conditions that yield direct and simple proofs of time uniform estimates of the difference between the two stochastic flows when their drift and diffusion functions are not the same, yielding what seems to be the first results of this type for this class of anticipative models. We illustrate the impact of these results in the context of diffusion perturbation theory, interacting diffusions and discrete time approximations< Réduire
Mots clés en anglais
Bismut-Elworthy-Li formulae Mathematics Subject Classification : 47D07
backward Itô-Ventzell formula
Perturbation semigroups
Malliavin differential
Bismut-Elworthy-Li formulae
Skorohod stochastic integral
Tangent and Hessian processes
Aleeksev-Gröbner lemma
variational equations
tangent and Hessian processes
perturba- tion semigroups
Variational equations
Stochastic flows
Backward Itô-Ventzell formula
93E15
60H07
Origine
Importé de halUnités de recherche