Pathwise Taylor expansions for Itô random fields

DOI10.3934/mcrf.2011.1.437zbMath1255.60087arXiv1008.3221OpenAlexW2963002655MaRDI QIDQ427951

Rainer Buckdahn, Ingo Bulla, Jin Ma

Publication date: 18 June 2012

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3221

zbMATH Keywords

stochastic characteristicspathwise stochastic Taylor expansionstochastic viscosity solutionsWick-square

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) 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 (4)

Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions ⋮ A mild Itô formula for SPDEs ⋮ Pathwise Taylor expansions for random fields on multiple dimensional paths

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