An Itô calculus for a class of limit processes arising from random walks on the complex plane

DOI10.1016/j.spa.2016.12.009OpenAlexW2962762601MaRDI QIDQ2402425

Craig Calcaterra, Stefano Bonaccorsi, Sonia Mazzucchi

Publication date: 7 September 2017

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

Full work available at URL: https://arxiv.org/abs/1603.05437

zbMATH Keywords

probabilistic representation of solutions of PDEsgeneralized Itô calculusstochastic processes on the complex plane

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Integral representations of solutions to PDEs (35C15) Generalized stochastic processes (60G20)

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Generalized Feynman path integrals and applications to higher-order heat-type equations ⋮ Probabilistic representation formula for the solution of fractional high-order heat-type equations

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