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Absolute continuity under time shift of trajectories and related stochastic calculus /
The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A\equiv A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted...
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Providence, Rhode Island :
American Mathematical Society,
2017.
|
| Series: | Memoirs of the American Mathematical Society ;
no. 1185. |
| Subjects: | |
| Online Access: | Texto completo |
Table of Contents:
- Introduction, Basic Objects, and Main Result
- Flows and Logarithmic Derivative Relative to X under Orthogonal Projection
- The Density Formula
- Partial Integration
- Relative Compactness of Particle Systems
- Appendix A: Basic Malliavin Calculus for Brownian Motion with Random Initial Data
- References
- Index.