A backward Itô-Ventzell formula with an application to stochastic interpolation

DOI10.5802/CRMATH.110MaRDI QIDQ2213080zbMATH OpenOpenAlexFDO

Authors Pierre Del Moral, Sumeetpal S. Singh

Publication date 27 November 2020

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.5802/crmath.110

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)

Cites work

• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• A perturbation analysis of stochastic matrix Riccati diffusions
• A second order analysis of McKean-Vlasov semigroups
• A two-sided stochastic integral and its calculus
• A variational approach to nonlinear and interacting diffusions
• Some remarks about backward itô formula and applications
• The Malliavin Calculus and Related Topics

Cited in

(4)

• Some Results of Backward Itô Formula
• Some remarks about backward itô formula and applications
• Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
• Asymptotic bias of inexact Markov chain Monte Carlo methods in high dimension

This page was built for publication: A backward Itô-Ventzell formula with an application to stochastic interpolation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2213080)