Stochastic analysis for a non-Markovian generator: an introduction (Q2354100): Difference between revisions
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Revision as of 20:43, 10 February 2024
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| English | Stochastic analysis for a non-Markovian generator: an introduction |
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Stochastic analysis for a non-Markovian generator: an introduction (English)
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10 July 2015
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This paper gives a brief survey of recent results by the author, focusing on stochastic analysis methods in situations where there is no stochastic process (but still an operator semigroup). The notions of Itô formula (Itô transform), the stochastic flow theorem (originally due to Malliavin) and a Girsanov formula are explained. The paper does not contain proofs.
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Itô's formula
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Itô transform
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semigroup theory
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stochastic flow
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Malliavin's calculus
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Girsanov transform
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Wiener Chaos
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pseudodifferential operator
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