Publication:3959169

Publication date: 1981

Malliavin calculus; Ito formula; Burkholder-Davis-Gundy inequalities; stochastic parallel displacement; martingale-problem; representation theorems for martingales

Mathematics Subject Classification ID

60-02: Research exposition (monographs, survey articles) pertaining to probability theory

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dependence of the solutions of stochastic differential equations, Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory, On the non‐confluent property of solutions of one‐dimensional stochastic differential equations, The nisio semigroup for controlled diffusions with partial observations, Stochastic calculus for continuous additive functionals of zero energy, Central limit theorem for a system of Markovian particles with mean field interactions, Examples of optimal controls for linear stochastic control systems with partial observation, Convergence of stochastic flows connected with stochastic ordinary differential equations, On representations of solutions of 1–dimensional stochastic differential equations with reflecting boundary conditions, Strong solutions of stochastic differential equations involving local times, Parameter sensitivity in stochastic optimal control^∗, Regularite au bord pour les densites et les densites conditionnelles d'une diffusion reflechie hypoeiliptique, Monotone iterative technique for 1–dimensional stochastic differential equations, A convergence result for stochastic partial differential equations, Non-parametric estimation for partially observed transient diffusion processes, Skew brownian motion and a one dimensional stochastic differential equation, An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions, Stochastic functional differential equations modelling materials with selective recall, On the approximation of stochastic partial differential equations i, Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples, Lyapunov Exponents for a Stochastic Analogue of the Geodesic Flow, Some remarks on a Markov chain modelling cooperative biological systems, Stochastic differential equations in fluid dynamics, On the Algebra of Bounded Holomorphic Martingales, Unnamed Item, The Density Manifold and Configuration Space Quantization, Some singular diffusion processes and their associated stochastic differential equations, On the strong comparison theorems for solutions of stochastic differential equations, On stochastic horizontal lifts, Two strong laws for shrinking Brownian tubes, Calcul des variations stochastique et processus de sauts, [https://portal.mardi4nfdi.de/wiki/Software:3965365 Support d'un processus de r�flexion], Maximum principle of stochastic controlled systems of functional type, On existence,asymptotic behaviour and stability of solutions of stochastic integral equations, Monotone iterative technique for 1-dimensional Itô-volterra integral equations^†, Relations between multiple ito and stratonovich integrals, Existence of solutions and optimal control for reflecting stochastic differential equations with applications to population control theory^*, Stochastic flows on the boundaries of lie groups, The approximation of multiple stochastic integrals, An extension of the Wong-Zakai theorem for stochastic evolution equations in Hilbert spaces, Order-preserving random dynamical systems: equilibria, attractors, applications, Sample path approximation for stochastic integro-differential equations, On the pathwise uniqueness of solutions of stochastic differential equations, Apporoximate solutions for stochastic differential equations with pathwise uniqueness, Optimal control of semilinear stochastic evolution equations, A stochastic particle system associated with the spatially inhomogeneous Boltzmann equation, A Characterization of Complete Security Markets On A Brownian Filtration¹, A probabilistic approach to the first Dirichlet eigenvalue on non-compact Riemannian manifold, Large deviations of semimartingales: A maxingale problem approach i. limits as solutions to a maxingale problem, Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's, Stability in distribution and volume nullification of levy flow, Comparison of multidimensional diffusion processes, Analysis of Error with Malliavin Calculus: Application to Hedging, Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature, Onsager Machlup Functional for Stochastic Evolution Equations in a Class of Norms, L² Diffusion Approximation for Slow Motion in Averaging, THEORY OF DISTRIBUTION IN THE SENSE OF CONNES–HIDA AND FEYNMAN PATH INTEGRAL ON A MANIFOLD, On oblique reflecting switched diffusion processes, Long-time behavior of solutions to a class of stochastic parabolic equations with homogeneous white noise: itô's case, Stochastic Cohomology of the Frame Bundle of the Loop Space, Orbital stability index for stochastic systems, MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS, SOME FAMILIES OF q-VECTOR FIELDS ON PATH SPACES, SUPERSYMMETRY AND BROWNIAN MOTION ON SUPERMANIFOLDS, WITTEN LAPLACIAN ON PINNED PATH GROUP AND ITS EXPECTED SEMICLASSICAL BEHAVIOR, OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES, Nonlinear Filtering with Fractional Brownian Motion Noise, Flows of homeomorphisms of stochastic differential equations with measurable drift, The value function in ergodic control of diffusion processes with partial observations, Large deviations from the mckean-vlasov limit for weakly interacting diffusions, Compactification methods in the control of degenerate diffusions: existence of an optimal control, Singular stochastic control and optimal stopping, A unifying diffusion model for state-dependent queues, Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation, Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations, Malliavin's stochastic calculus of variations for manifold-valued Wiener functionals and its applications, Non-independence of excursions of the Brownian sheet and of additive Brownian motion, Tightness and Boundedness of Stochastic Flows, OPTIMAL EXPLOITATION OF RENEWABLE RESOURCES BY THE VISCOSITY SOLUTION METHOD, On Set-Valued Stochastic Integrals, Estimation of Weak Lensing Parameters by Stochastic Integration, Stochastic Wess–Zumino–Novikov–Witten model on the torus, Stochastic averaging principle for systems with pathwise uniqueness, An approximation theorem of wong-zakai type for nonlinear stochastic partial differential equations, Volume nullification and asymptotic flatnessof denerate diffusions, Continuous-time stochastic approximation: Convergence and asymptotic efficiency, Stochastic Control Problems and Spherical Functions on Symmetric Spaces, Transport equations with singularity, On first–crossing times of one–dimensional diffusions over two time–dependent boundaries, Local Solutions for Stochastic Navier Stokes Equations, Unnamed Item, The calculus of boundary processes, Doob: A Half-Century on, PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY, The Banach Spaces and with Application to the Approximate Controllability of Stochastic Partial Functional Differential Equations with Infinite Delay, Optimal Consumption in a Growth Model with the CES Production Function, Flow of Homeomorphisms and Stochastic Transport Equations, Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet, Instrumental Variable Estimation for Linear Stochastic Differential Equations Driven by Fractional Brownian Motion, Processes with volatility‐induced stationarity: an application for interest rates, Stochastic Differential Equations with Non-Lipschitz Coefficients in Hilbert Spaces, Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients, STOCHASTIC CAHN–HILLIARD PARTIAL DIFFERENTIAL EQUATIONS WITH LÉVY SPACETIME WHITE NOISES, Unnamed Item, Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise, Method for simulating non-linear stochastic differential equations in ℝ¹, Weak Compactness of Solution Sets to Stochastic Differential Inclusions with Non-Convex Right-Hand Sides, Inference for stochastic neuronal models, Asymptotic stability of Itô differential systems with retarded argument, Existence theorems for solutions of stochastic differential equations with discontinuous right-hand sides, On the existence of a solution to stochastic Navier-Stokes equations, Inference for stochastic neuronal models, Approach to equilibrium of particles diffusing on curved surfaces, Kalman filter and quantization, Propagation of maxima and strong maximum principle for viscosity solutions of degenerate elliptic equations. I: Convex operators, Maximnm contrast estimation for diffusion processes from discrete observations, Perturbed stochastic hereditary differential equations with integral contractors, Density estimate in small time for jump processes with singular Lévy measures, A stochastic differential game in the orthrant, The lyapunov spectrum and stable manifolds for stochastic linear delay equations, The lyapunov spectrum and stable manifolds for stochastic linear delay equations, Malliavin calculus for two-parameter Wiener functionals, Malliavin calculus for two-parameter Wiener functionals, A universal formula for the stabilization of control stochastic differential equations, On multi–dimensional diffusion process living in a bounded region, Unnamed Item, A class of measure-valued branching diffusions in a random medium, Eigenfunctions of the Laplacian on rotationally symmetric manifolds, Different types of spdes in the eyes of girsanov's theorem, Measure diffusions and related explosion problems, Uniqueness theorem of solutions for stochastic differential equation in the plane, PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS, A YIELD‐FACTOR MODEL OF INTEREST RATES