Computing conditional expectations of multidimensional diffusion processes

DOI10.1080/17442500500196885MaRDI QIDQ5704638zbMATH OpenOpenAlexFDO

Authors A. Lanconelli

Publication date 15 November 2005

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500500196885

zbMATH Keywords

stochastic differential equationswhite noise analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40)

Review text

In a white noise set-up, the paper gives an explicit representation for the conditional expectation of multidimensional diffusion processes: neither Markov property, nor semigroup are required.

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Cites work

• A review of white noise analysis from a probabilistic standpoint
• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
• White noise calculus and Fock space

Cited in

(3)

• scientific article; zbMATH DE number 1767707 (Why is no real title available?)
• scientific article; zbMATH DE number 1409856 (Why is no real title available?)
• Computation of conditional expectations with guarantees

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