Backward Itô-Ventzell and stochastic interpolation formulae

DOI10.1016/J.SPA.2022.09.007MaRDI QIDQ2093696zbMATH OpenOpenAlexFDO

Authors Pierre Del Moral, Sumeetpal S. Singh

Publication date 27 October 2022

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

Full work available at URL https://arxiv.org/abs/1906.09145

zbMATH Keywords

Bismut-Elworthy-Li formulaeMalliavin differentialperturbation semigroupsSkorohod stochastic integralstochastic flowsTangent and Hessian processes

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic stability in control theory (93E15)

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Cited in

(9)

• Some Results of Backward Itô Formula
• Some remarks about backward itô formula and applications
• Backward Itô's formula for sections of a fibered manifold
• Backward It{\^o}-Ventzell and stochastic interpolation formulae
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations
• Asymptotic bias of inexact Markov chain Monte Carlo methods in high dimension
• Poisson equations with locally-Lipschitz coefficients and uniform in time averaging for stochastic differential equations via strong exponential stability
• Uniform in time convergence of numerical schemes for stochastic differential equations via strong exponential stability: Euler methods, split-step and tamed schemes
• On time uniform Wong-Zakai approximation theorems

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