Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times (Q429298): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
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 | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Nikolaos Halidias / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J55 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6047947 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Itô-Wiener expansion | |||
Property / zbMATH Keywords: Itô-Wiener expansion / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
stochastic differential equation | |||
Property / zbMATH Keywords: stochastic differential equation / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
local time | |||
Property / zbMATH Keywords: local time / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
renormalized local time | |||
Property / zbMATH Keywords: renormalized local time / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
second quantization operator | |||
Property / zbMATH Keywords: second quantization operator / rank | |||
Normal rank |
Revision as of 23:30, 29 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
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)
0 references
19 June 2012
0 references
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.
0 references
Itô-Wiener expansion
0 references
stochastic differential equation
0 references
local time
0 references
renormalized local time
0 references
second quantization operator
0 references