A backward Itô–Ventzell formula with an application to stochastic interpolation
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | DEL MORAL, Pierre | |
hal.structure.identifier | University of Cambridge [UK] [CAM] | |
dc.contributor.author | SINGH, Sumeetpal | |
dc.date.accessioned | 2024-04-04T02:47:32Z | |
dc.date.available | 2024-04-04T02:47:32Z | |
dc.date.issued | 2020 | |
dc.identifier.issn | 1631-073X | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/191652 | |
dc.description.abstractEn | This Note and its extended version [7] present a novel backward Itô–Ventzell formula and anextension of the Aleeksev–Gröbner interpolating formula to stochastic flows. We also present some naturalspectral conditions that yield direct and simple proofs of time uniform estimates of the difference betweenthe two stochastic flows when their drift and diffusion functions are not the same. | |
dc.language.iso | en | |
dc.publisher | Académie des sciences (Paris) | |
dc.title.en | A backward Itô–Ventzell formula with an application to stochastic interpolation | |
dc.type | Article de revue | |
dc.identifier.doi | 10.5802/crmath.110 | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
bordeaux.journal | Comptes Rendus. Mathématique | |
bordeaux.page | 881-886 | |
bordeaux.volume | 358 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.issue | 7 | |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-03122845 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-03122845v1 | |
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