Stochastic differential equations and Nilpotent Lie algebras

DOI10.1007/BF00535284zbMath0427.60069MaRDI QIDQ3862818

Yuiti Yamato

Publication date: 1979

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsLie algebras

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items (27)

Asymptotic expansion of stochastic flows ⋮ A representation of solution of stochastic differential equations ⋮ Étude de processus généralisant l'aire de Lévy ⋮ Heat trace asymptotics on equiregular sub-Riemannian manifolds ⋮ Stochastic multiplicative measures, generalized Markov semigroups, and group-valued stochastic processes and fields ⋮ Stochastic flows and Taylor series ⋮ Lévy processes, pseudo-differential operators and Dirichlet forms in the Heisenberg group ⋮ On left invariant Brownian motions and heat kernels of nilpotent Lie groups ⋮ Smooth density for some nilpotent rough differential equations ⋮ On the stochastic Magnus expansion and its application to SPDEs ⋮ Stochastic differential equations and stochastic flows of diffeomorphisms ⋮ A diffusion approximation theorem for a nonlinear PDE with application to random birefringent optical fibers ⋮ Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients ⋮ EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING ⋮ A remark on Kunita's decomposition theorem ⋮ On explicit local solutions of Itô diffusions ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ Optimal pointwise approximation of SDEs based on Brownian motion at discrete points ⋮ Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion ⋮ The complexity of stochastic differential equations ⋮ Stabilité d'un type élémentaire d'équations diffé rentielles stochastiques à bruits vectoriesl ⋮ Modeling and approximation of stochastic differential equations driven by semimartingales^† ⋮ Discretization and simulation of stochastic differential equations ⋮ Continuity in a pathwise sense with respect to the coefficients of solutions of stochastic differential equations ⋮ Yet another introduction to rough paths ⋮ Decomposition and stability of linear systems with multiplicative noise ⋮ On decompositions and integral representation of solutions for affine control systems

Cites Work

• Stochastic differentials
• Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Stochastic differential equations and Nilpotent Lie algebras