Skip to Main content Skip to Navigation
Journal articles

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.
Document type :
Journal articles
Complete list of metadata

https://hal.inria.fr/hal-03122845
Contributor : Pierre del Moral Connect in order to contact the contributor
Submitted on : Wednesday, January 27, 2021 - 12:27:45 PM
Last modification on : Saturday, December 4, 2021 - 3:43:32 AM

Links full text

Identifiers

Collections

Citation

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⟩

Share

Metrics

Les métriques sont temporairement indisponibles