Stochastic Calculus via Regularizations

DOI10.1007/978-3-031-09446-0MaRDI QIDQ6484728zbMATH OpenFDO

Authors Francesco Russo, Pierre Vallois

Publication date 11 July 2022

Published in Bocconi \& Springer Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-09446-0

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic analysis (60Hxx)

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(8)

• Regularization of multiplicative SDEs through additive noise
• Stochastic Integration in Banach Spaces
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• Stochastic differential equations with singular coefficients: the martingale problem view and the stochastic dynamics view
• Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result
• Multilevel diffusion: infinite dimensional score-based diffusion models for image generation
• \(C^{0, 1}\)-Itô chain rules and generalized solutions of parabolic PDEs
• Exponential twist of probability measures: drift correction in term of a generalized gradient

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