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Stochastic regularization effects of semi-martingales on random functions.
- Source :
-
Journal de Mathematiques Pures et Appliquees . Dec2016, Vol. 106 Issue 6, p1141-1173. 33p. - Publication Year :
- 2016
-
Abstract
- In this paper we address an open question formulated in [16] . That is, we extend the Itô–Tanaka trick, which links the time-average of a deterministic function f depending on a stochastic process X and F the solution of the Fokker–Planck equation associated to X , to random mappings f . To this end we provide new results on a class of adapted and non-adapted Fokker–Planck SPDEs and BSPDEs. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00217824
- Volume :
- 106
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Journal de Mathematiques Pures et Appliquees
- Publication Type :
- Academic Journal
- Accession number :
- 119155649
- Full Text :
- https://doi.org/10.1016/j.matpur.2016.04.004