A Stochastic Calculus for Systems with Memory

DOI10.1081/SAP-200056696zbMath1080.60058MaRDI QIDQ5316805

Salah-Eldin A. Mohammed, Feng Yan

Publication date: 15 September 2005

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

zbMATH Keywords

Feynman-Kac formulaItô's formulasegment processsegment integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (7)

A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations ⋮ Existence and smoothness of the densities of stochastic functional differential equations with jumps ⋮ Causality with finite horizon of the past in continuous time ⋮ On Generalized Regular Stochastic Differential Delay Systems with Time Invariant Coefficients ⋮ Stochastic systems with memory and jumps ⋮ Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion

Cites Work

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• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Theorems and problems in functional analysis. Transl. from the Russian by Harold H. McFaden
• The Malliavin calculus and stochastic delay equations
• Moderate deviations for diffusions with Brownian potentials

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