BPE and a noncausal Girsanov's theorem

DOI10.1007/s13171-016-0087-xzbMath1356.60105OpenAlexW2507347359MaRDI QIDQ505489

Shigeyoshi Ogawa

Publication date: 25 January 2017

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-016-0087-x

zbMATH Keywords

stochastic partial differential equationsGirsanov's theoremBrownian particle equationnoncausal stochastic integral

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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• Une remarque sur l'approximation de l'integrale stochastique du type noncausal par une suite des integrales de Stieltjes
• Equation de Schrödinger et équation de particule brownienne
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• On a Riemann definition of the stochastic integral, I
• A partial differential equation with the white noise as a coefficient
• Quelques propriétés de l’intégrale stochastique du type noncausal

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