scientific article; zbMATH DE number 3738652

MaRDI QIDQ3924936zbMATH OpenFDO

Authors

Publication date 1981

zbMATH Keywords

Girsanov's theoremhypoellipticityHörmanders theoremMalliavin calculusmartingale problemrelationship between weak and strong solutionsStroock-Varadhan approaches to diffusion theory

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited in

(10)

• Differentiable measures and the Malliavin calculus
• Brownian motion on the Wiener sphere and the infinite-dimensional Ornstein-Uhlenbeck process
• Hörmander's hypoelliptic theorem for nonlocal operators
• Simulation of elliptic and hypo-elliptic conditional diffusions
• Elliptic differential operators and diffusion processes
• Markov chain Monte Carlo and irreversibility
• The calculus of boundary processes
• Integration by parts formulas and Lie symmetries of SDEs
• The Malliavin calculus
• On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions

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