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Journal Articles Comptes Rendus. Mathématique Year : 2020

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

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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.

Dates and versions

hal-03122845 , version 1 (27-01-2021)

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Pierre del Moral, Sumeetpal Singh. A backward Itô–Ventzell formula with an application to stochastic interpolation. Comptes Rendus. Mathématique, 2020, 358 (7), pp.881-886. ⟨10.5802/crmath.110⟩. ⟨hal-03122845⟩
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