Some properties of the Itô-Wiener expansion of the solution of a stochastic differential equation and local times

DOI10.1016/j.spa.2012.03.009zbMath1248.60066WikidataQ115341156 ScholiaQ115341156MaRDI QIDQ429298

Alexey Rudenko

Publication date: 19 June 2012

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

Full work available at URL: https://doi.org/10.1016/j.spa.2012.03.009

zbMATH Keywords

stochastic differential equation; local time; Itô-Wiener expansion; renormalized local time; second quantization operator

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J55: Local time and additive functionals

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