Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times

DOI10.1016/j.spa.2012.03.009zbMath1248.60066OpenAlexW1977952246WikidataQ115341156 ScholiaQ115341156MaRDI QIDQ429298

Alexey Rudenko

Publication date: 19 June 2012

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

Full work available at URL: https://doi.org/10.1016/j.spa.2012.03.009

zbMATH Keywords

stochastic differential equationlocal timeItô-Wiener expansionrenormalized local timesecond quantization operator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

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Cites Work

• Lectures on stochastic differential equations and Malliavin calculus
• Wiener sausage and self-intersection local times
• Regularity of renormalized self-intersection local time for fractional Brownian motion
• Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
• Intersection local time for two independent fractional Brownian motions
• Two-sided estimates of fundamental solutions of second-order parabolic equations, and some applications
• SOME ESTIMATES OF THE PROBABILITY DENSITY OF A STOCHASTIC INTEGRAL
• ON EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC EQUATIONS
• Random Mappings and a Generalized Additive Functional of a Wiener Process
• Renormalization Of The Local Time For The d-Dimensional Fractional Brownian Motion With N Parameters
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