Pathwise Taylor expansions for random fields on multiple dimensional paths

DOI10.1016/j.spa.2015.02.004zbMath1328.60125arXiv1310.0517OpenAlexW2963911327MaRDI QIDQ2348304

Jianfeng Zhang, Jin Ma, Rainer Buckdahn

Publication date: 11 June 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.0517

zbMATH Keywords

stochastic partial differential equationsrandom fieldspath derivativesfunctional Itō formulaItō-Wentzell formulapathwise Taylor expansion

Mathematics Subject Classification ID

Random fields (60G60) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (9)

A weak version of path-dependent functional Itô calculus ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients ⋮ Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion ⋮ Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

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• A course on rough paths. With an introduction to regularity structures

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