Stochastic analysis without probability: study of some basic tools

DOI10.1007/S11868-010-0020-3MaRDI QIDQ619636zbMATH OpenOpenAlexFDO

Authors Rémi Léandre

Publication date 25 January 2011

Published in Journal of Pseudo-Differential Operators and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11868-010-0020-3

zbMATH Keywords

convolution semigroupgeneralised martingale problemnon-Markovian semigrouppath integralWiener distribution

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Schrödinger and Feynman-Kac semigroups (47D08) General theory of stochastic processes (60G07) Generalized stochastic processes (60G20) Generalizations of martingales (60G48) White noise theory (60H40) Diffusion processes (60J60) Brownian motion (60J65)

Review text

In this article, authors propose a semi-group interpretation of essential notions and problems of stochastic analysis. By working on not necessarily Markovian semi-groups that arise from a big order generator, they define a generalized form of the Ito's formula with respect to this generator. They also define the Wiener distribution with respect to a convolution semi-group and they prove that this generalized distribution is the solution to the martingale problem associated to the generator mentioned before.

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Cited in

(12)

• Infinite dimensional oscillatory integrals with polynomial phase and applications to higher-order heat-type equations
• Generalized Feynman path integrals and applications to higher-order heat-type equations
• A path-integral approach to the Cameron-Martin-Maruyama-Girsanov formula associated to a bi-Laplacian
• Stochastic analysis for a non-Markovian generator: an introduction
• High order heat-type equations and random walks on the complex plane
• scientific article; zbMATH DE number 4104066 (Why is no real title available?)
• An Itô formula for an accretive operator
• Probabilistic representations for the solution of higher order differential equations
• The Itô-Stratonovich formula for an operator of order four
• A Class of Non-Markovian Pseudo-differential Operators of Lévy Type
• A criterium for the strict positivity of the density of the law of a Poisson process
• Malliavin calculus of Bismut type for fractional powers of Laplacians in semi-group theory

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