An Itô formula for a family of stochastic integrals and related Wong-Zakai theorems

DOI10.1016/J.SPA.2013.03.005MaRDI QIDQ2447708zbMATH OpenOpenAlexFDO

Authors Paolo Da Pelo, A. Lanconelli, A. I. Stan

Publication date 28 April 2014

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

Full work available at URL https://doi.org/10.1016/j.spa.2013.03.005

zbMATH Keywords

heat equationsecond quantization operatorstochastic differential equations

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• scientific article; zbMATH DE number 885958 (Why is no real title available?)
• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• On a dual pair of spaces of smooth and generalized random variables
• On a new probabilistic representation for the solution of the heat equation
• On the martingale property for generalized stochastic processes
• On the relation between ordinary and stochastic differential equations

Cited in

(14)

• Prohorov-type local limit theorems on abstract Wiener spaces
• Standardizing densities on Gaussian spaces
• Contractivity of gamma Wick products
• Itô formula for one-dimensional continuous-time quantum random walk
• Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Itô's stochastic differential equations
• Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations
• Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations
• Stochastic integration in Riemannian manifolds from a functional-analytic point of view
• On stochastic differential equations driven by the renormalized square of the Gaussian white noise
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations
• A note on Gamma Wick products
• A new numerical scheme for Itô stochastic differential equations based on Wick-type Wong-Zakai arguments
• A note on a local limit theorem for Wiener space valued random variables

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