Characterizing Gaussian flows arising from Itô's stochastic differential equations
From MaRDI portal
(Redirected from Publication:512833)
monotonicity inequalitystochastic differential equationsdiffusion processesforward equationsGaussian flows
Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Abstract: We introduce and characterize a class of flows, which turn out to be Gaussian. This characterization allows us to show, using the Monotonicity inequality, that the transpose of the flow, for an extended class of initial conditions, is the unique solution of the SPDE introduced in Rajeev and Thangavelu (2008).
Recommendations
- Generalized stochastic flow associated to the Itô SDE with partially Sobolev coefficients and its application
- scientific article; zbMATH DE number 4100323
- scientific article; zbMATH DE number 44587
- scientific article; zbMATH DE number 1001278
- Gaussian distributions and applications to stochastic partial differential equations
- scientific article; zbMATH DE number 774066
- Flows and stochastic Taylor series in Itô calculus
- Transformation of Gaussian measure by infinite-dimensional stochastic flow
- Stochastic integrals and evolution equations with Gaussian random fields
Cites work
- scientific article; zbMATH DE number 3885067 (Why is no real title available?)
- scientific article; zbMATH DE number 3842923 (Why is no real title available?)
- scientific article; zbMATH DE number 3872419 (Why is no real title available?)
- scientific article; zbMATH DE number 3658788 (Why is no real title available?)
- scientific article; zbMATH DE number 3686520 (Why is no real title available?)
- scientific article; zbMATH DE number 48405 (Why is no real title available?)
- scientific article; zbMATH DE number 3610552 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 6125590 (Why is no real title available?)
- scientific article; zbMATH DE number 3894217 (Why is no real title available?)
- A generalized formula of Ito and some other properties of stochastic flows
- Differential operators on Hermite Sobolev spaces
- Elements of Stochastic Calculus via Regularization
- Evolution of interacting particles in a brownian medium
- Existence and uniqueness of solutions for Fokker-Planck equations on Hilbert spaces
- Flows of stochastic dynamical systems: ergodic theory
- Fokker-Planck equations and maximal dissipativity for Kolmogorov operators with time dependent singular drifts in Hilbert spaces
- Isotropic Ornstein-Uhlenbeck flows
- Isotropic stochastic flows
- Lectures on topics in stochastic differential equations
- Linear stochastic differential equations in the dual of a multi-Hilbertian space
- Ordinary differential equations, transport theory and Sobolev spaces
- Probabilistic representations of solutions of the forward equations
- Stochastic Equations in Infinite Dimensions
- The monotonicity inequality for linear stochastic partial differential equations
- Translation invariant diffusions in the space of tempered distributions
- Uniqueness for solutions of Fokker-Planck equations on infinite dimensional spaces
Cited in
(4)
This page was built for publication: Characterizing Gaussian flows arising from Itô's stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q512833)
