Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times (Q429298): Difference between revisions
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Property / review text | |||
From the author's abstract: We use the formula for the Ito-Wiener expansion of the solution of a stochastic differential equation proven by \textit{B. Kawohl} and \textit{N. Kutev} [Funkc. Ekvacioj, Ser. Int. 43, No. 2, 241--253 (2000; Zbl 1142.35315)] to obtain several results concerning some properties of this expansion. Our main goal is to study the Ito-Wiener expansion of the local time at the fixed point for the solution of the stochastic differential equation in the multidimensional case (when standard local time does not exist even for Brownian motion). We show that under some conditions the renormalized local time exists in the functional space defined by the \(L_{2}\)-norm of the action of some smoothing operator. | |||
Property / review text: From the author's abstract: We use the formula for the Ito-Wiener expansion of the solution of a stochastic differential equation proven by \textit{B. Kawohl} and \textit{N. Kutev} [Funkc. Ekvacioj, Ser. Int. 43, No. 2, 241--253 (2000; Zbl 1142.35315)] to obtain several results concerning some properties of this expansion. Our main goal is to study the Ito-Wiener expansion of the local time at the fixed point for the solution of the stochastic differential equation in the multidimensional case (when standard local time does not exist even for Brownian motion). We show that under some conditions the renormalized local time exists in the functional space defined by the \(L_{2}\)-norm of the action of some smoothing operator. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Nikolaos Halidias / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J55 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6047947 / rank | |||
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Property / zbMATH Keywords | |||
Itô-Wiener expansion | |||
Property / zbMATH Keywords: Itô-Wiener expansion / rank | |||
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Property / zbMATH Keywords | |||
stochastic differential equation | |||
Property / zbMATH Keywords: stochastic differential equation / rank | |||
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Property / zbMATH Keywords | |||
local time | |||
Property / zbMATH Keywords: local time / rank | |||
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Property / zbMATH Keywords | |||
renormalized local time | |||
Property / zbMATH Keywords: renormalized local time / rank | |||
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Property / zbMATH Keywords | |||
second quantization operator | |||
Property / zbMATH Keywords: second quantization operator / rank | |||
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Property / Wikidata QID | |||
Property / Wikidata QID: Q115341156 / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.spa.2012.03.009 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1977952246 / rank | |||
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Property / cites work | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 09:29, 5 July 2024
scientific article
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English | Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times |
scientific article |
Statements
Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times (English)
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19 June 2012
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From the author's abstract: We use the formula for the Ito-Wiener expansion of the solution of a stochastic differential equation proven by \textit{B. Kawohl} and \textit{N. Kutev} [Funkc. Ekvacioj, Ser. Int. 43, No. 2, 241--253 (2000; Zbl 1142.35315)] to obtain several results concerning some properties of this expansion. Our main goal is to study the Ito-Wiener expansion of the local time at the fixed point for the solution of the stochastic differential equation in the multidimensional case (when standard local time does not exist even for Brownian motion). We show that under some conditions the renormalized local time exists in the functional space defined by the \(L_{2}\)-norm of the action of some smoothing operator.
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Itô-Wiener expansion
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stochastic differential equation
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local time
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renormalized local time
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second quantization operator
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