The Beneš equation and stochastic calculus of variations

DOI10.1016/0304-4149(94)00058-2MaRDI QIDQ1893863zbMATH OpenOpenAlexFDO

Authors Laurent Decreusefond, A. S. Üstünel

Publication date 7 August 1995

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)00058-2

zbMATH Keywords

Benes equationMalliavin calculusreflection theory

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Recommendations

• The Beňes equations for the distribution of excursions for general storage processes
• Variations of the solution to a stochastic heat equation
• scientific article; zbMATH DE number 953292
• Stochastic differential equations for some queueing systems
• Asymptotic stability of beneš filters

Cites work

• Calcul des variations stochastique et processus de sauts
• Dirichlet forms and analysis on Wiener space
• Fluctuation theory in continuous time
• scientific article; zbMATH DE number 1595038 (Why is no real title available?)
• scientific article; zbMATH DE number 3833030 (Why is no real title available?)
• scientific article; zbMATH DE number 4149279 (Why is no real title available?)
• scientific article; zbMATH DE number 4062289 (Why is no real title available?)
• scientific article; zbMATH DE number 3500818 (Why is no real title available?)
• scientific article; zbMATH DE number 3638903 (Why is no real title available?)
• scientific article; zbMATH DE number 6725008 (Why is no real title available?)
• Reflexion discontinue et systèmes stochastiques
• The Malliavin calculus for pure jump processes and applications to local time

Cited in

(1)

• The Beňes equations for the distribution of excursions for general storage processes

This page was built for publication: The Beneš equation and stochastic calculus of variations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1893863)