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A backward Itô–Ventzell formula with an application to stochastic interpolation

Pierre del Moral 1 Sumeetpal Singh 2
1 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
Abstract : This Note and its extended version [7] present a novel backward Itô–Ventzell formula and anextension of the Aleeksev–Gröbner interpolating formula to stochastic flows. We also present some naturalspectral conditions that yield direct and simple proofs of time uniform estimates of the difference betweenthe two stochastic flows when their drift and diffusion functions are not the same.
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Submitted on : Wednesday, January 27, 2021 - 12:27:45 PM
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Pierre del Moral, Sumeetpal Singh. A backward Itô–Ventzell formula with an application to stochastic interpolation. Comptes Rendus. Mathématique, Académie des sciences (Paris), 2020, 358 (7), pp.881-886. ⟨10.5802/crmath.110⟩. ⟨hal-03122845⟩



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