Stochastic analysis for a non-Markovian generator: an introduction

DOI10.1134/S1061920815010070zbMath1331.60148OpenAlexW1990041474MaRDI QIDQ2354100

Rémi Léandre

Publication date: 10 July 2015

Published in: Russian Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1061920815010070

zbMATH Keywords

semigroup theorypseudodifferential operatorstochastic flowItô's formulaMalliavin's calculusGirsanov transformItô transformWiener Chaos

Mathematics Subject Classification ID

One-parameter semigroups and linear evolution equations (47D06) Markov semigroups and applications to diffusion processes (47D07) General theory of infinite-dimensional dissipative dynamical systems, nonlinear semigroups, evolution equations (37L05) Stochastic analysis (60H99) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (5)

An Itô calculus for a class of limit processes arising from random walks on the complex plane ⋮ Malliavin calculus of Bismut type for an operator of order four on a Lie group ⋮ Bismut’s way of the Malliavin calculus for large order generators on a Lie group ⋮ The Itô-Stratonovich formula for an operator of order four ⋮ A Class of Non-Markovian Pseudo-differential Operators of Lévy Type

Cites Work

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