On differentiability of the expectations of functionals of a markov process

DOI10.1080/17442509208833763MaRDI QIDQ4018636zbMATH OpenOpenAlexFDO

Authors Alexander D. Wentzell

Publication date 16 January 1993

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509208833763

zbMATH Keywords

processes with independent incrementspseudo-partial derivative

Mathematics Subject Classification ID

Sample path properties (60G17) Markov processes (60J99)

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Cited in

(6)

• A generalized change of variable formula for the Young integral
• Admissible formal differentiations for pure discontinuous Markov processes
• Differentiability of Expectations of Functionals of a Wiener Process
• On Extensions of Markov Processes by Homogeneous Functionals, I
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• A remark on the r-th mean differentiability

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