On the representation of solutions of stochastic differential equations

Hiroshi Kunita

Séminaire de probabilités de Strasbourg (1980)

  • Volume: 14, page 282-304

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Kunita, Hiroshi. "On the representation of solutions of stochastic differential equations." Séminaire de probabilités de Strasbourg 14 (1980): 282-304. <http://eudml.org/doc/113291>.

@article{Kunita1980,
author = {Kunita, Hiroshi},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Lie algebras; Stratonovich-Fisk integral; multiple Wiener integrals},
language = {eng},
pages = {282-304},
publisher = {Springer - Lecture Notes in Mathematics},
title = {On the representation of solutions of stochastic differential equations},
url = {http://eudml.org/doc/113291},
volume = {14},
year = {1980},
}

TY - JOUR
AU - Kunita, Hiroshi
TI - On the representation of solutions of stochastic differential equations
JO - Séminaire de probabilités de Strasbourg
PY - 1980
PB - Springer - Lecture Notes in Mathematics
VL - 14
SP - 282
EP - 304
LA - eng
KW - Lie algebras; Stratonovich-Fisk integral; multiple Wiener integrals
UR - http://eudml.org/doc/113291
ER -

References

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  1. [1] Doss, H.: Liens entre équations différentielles stochastiques et ordinaires, Ann. Inst. H. Poincaré13, 99-125 (1977). Zbl0359.60087MR451404
  2. [2] Ichihara, K. - Kunita, H.: A classification of the second order degenerate elliptic operators and its probabilistic characterization, Z. Wahrscheinlichkeitstheorie und verw. Gebiete30, 235-254 (1974). Zbl0326.60097MR381007
  3. [3] Ichihara, K. - Kunita, H.: Supplements and corrections to the above paper, Z. Wahrscheinlichkeitstheorie und verw. Gebiete39, 81-84 (1977). Zbl0382.60069MR488328
  4. [4] Itô, K.: Stochastic differentials, Appl. Math. Optimization1, 374-384 (1975). Zbl0325.60057MR388538
  5. [5] Jacobson, N.: Lie algebras, New York-London. Wiley1962. Zbl0121.27504MR143793
  6. [6] Palais, R.S. : A global formulation of the Lie theory on transformation groups, Memoirs of the American Mathematical Society, No. 22 (1957). Zbl0178.26502MR121424
  7. [7] Sussman, H.J. : On the gap between deterministic and stochastic ordinary differential equations, The Annals of Probability6, 19-41 (1978). Zbl0391.60056MR461664
  8. [8] Yamato, Y.: Stochastic differential equations and nilpotent Lie algebras, Z. Wahrscheinlichkeitstheorie und verw. Gebiete47, 213-229 (1979). Zbl0427.60069MR523171

Citations in EuDML Documents

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  1. Hiroshi Kunita, Some extensions of Ito's formula
  2. T.J. Rabeherimanana, Serguey Nikolaievitch Smirnov, Petites perturbations de systèmes dynamiques et algèbres de Lie nilpotentes. Une extension des estimations de Doss et Stroock
  3. Yao-Zhong Hu, Calculs formels sur les e.d.s. de Stratonovitch
  4. Michel Fliess, Dorothée Normand-Cyrot, Algèbres de Lie nilpotentes, formule de Baker-Campbell-Hausdorff et intégrales itérées de K.T. Chen
  5. Joan-Andreu Lázaro-Camí, Juan-Pablo Ortega, Superposition rules and stochastic Lie–Scheffers systems

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