A backward Itô–Ventzell formula with an application to stochastic interpolation
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en
Article de revue
Ce document a été publié dans
Comptes Rendus. Mathématique. 2020, vol. 358, n° 7, p. 881-886
Académie des sciences (Paris)
Résumé en anglais
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 ...Lire la suite >
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.< Réduire
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