A backward Itô-Ventzell formula with an application to stochastic interpolation

DOI10.5802/crmath.110OpenAlexW3102924398MaRDI QIDQ2213080

Pierre Del Moral, Sumeetpal S. Singh

Publication date: 27 November 2020

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5802/crmath.110

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Stochastic stability in control theory (93E15) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds

Cites Work

• A two-sided stochastic integral and its calculus
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• A perturbation analysis of stochastic matrix Riccati diffusions
• A second order analysis of McKean-Vlasov semigroups
• The Malliavin Calculus and Related Topics
• Some remarks about backward itô formula and applications
• A variational approach to nonlinear and interacting diffusions

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