Itô formula for an asymptotically 4-stable process

DOI10.1214/aoap/1034968071zbMath0856.60042OpenAlexW1984790108MaRDI QIDQ1921438

Krzysztof Burdzy, Andrzej Mạdrecki

Publication date: 27 January 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034968071

zbMATH Keywords

characteristic functionpartial differential equationItô formulastable process

Mathematics Subject Classification ID

Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (6)

Infinite dimensional oscillatory integrals with polynomial phase and applications to higher-order heat-type equations ⋮ An Itô calculus for a class of limit processes arising from random walks on the complex plane ⋮ A change of variable formula with Itô correction term ⋮ Probabilistic representations for the solution of higher order differential equations ⋮ Geometric versus non-geometric rough paths ⋮ High order heat-type equations and random walks on the complex plane

Cites Work

• A stochastic solution of a high order parabolic equation
• Probabilistic construction of the solution of some higher order parabolic differential equation
• A signed measure on path space related to Wiener measure
• The arc-sine law and its analogs for processes governed by signed and complex measures
• An asymptotically 4-stable process
• Experience at Seattle
• Construction of a complex-valued fractional Brownian motion of order N
• Biharmonic functions and Brownian motion
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