getdoc8139. 202KB Jun 04 2011 12:04:35 AM
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But the Malliavin calculus for Gaussian processes can be adapted to it, Skorohod stochastic integrals can be defined, and it will allow us to derive an Itˆ o formula when the
In the almost last three decades, there have been enormous advances in the study of random field solutions to stochastic partial differential equations (SPDEs) driven by
Existence of weak solutions of stochastic wave equations with nonlinearities of a critical growth driven by spatially homogeneous Wiener processes is established in local Sobolev
These were used to give rigorous meaning to stochastic partial differential equations (s.p.d.e.’s), primarily parabolic equations driven by space-time white noise, though Walsh
Nualart: Weak solution for stochastic differential equations driven by a fractional Brownian motion with parameter H > 1/2 and discontinuous drift preprint IMUB N o 319.
Incidentally, the class of stochastic processes we are considering covers simultaneously not only the Friedman urn, but also the walk with an asymptotically zero drift, first
Abstract: In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an
Keywords: Total variation distance; Non-central limit theorem; Fractional Brownian motion; Hermite power variation; Multiple stochastic integrals; Hermite random
