Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times
From MaRDI portal
Publication:429298
DOI10.1016/j.spa.2012.03.009zbMath1248.60066OpenAlexW1977952246WikidataQ115341156 ScholiaQ115341156MaRDI QIDQ429298
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
stochastic differential equationlocal timeItô-Wiener expansionrenormalized local timesecond quantization operator
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)
Related Items (1)
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times
