Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations

Michel Métivier

Séminaire de probabilités de Strasbourg (1982)

  • Volume: 16, page 490-502

How to cite

top

Métivier, Michel. "Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations." Séminaire de probabilités de Strasbourg 16 (1982): 490-502. <http://eudml.org/doc/113402>.

@article{Métivier1982,
author = {Métivier, Michel},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {semimartingale; smoothness with aspects to a parameter},
language = {eng},
pages = {490-502},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations},
url = {http://eudml.org/doc/113402},
volume = {16},
year = {1982},
}

TY - JOUR
AU - Métivier, Michel
TI - Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations
JO - Séminaire de probabilités de Strasbourg
PY - 1982
PB - Springer - Lecture Notes in Mathematics
VL - 16
SP - 490
EP - 502
LA - eng
KW - semimartingale; smoothness with aspects to a parameter
UR - http://eudml.org/doc/113402
ER -

References

top
  1. [ 1 ] S. BichtelerStochastic Integrations with Stationary Independant increments (To appear in Z. Wahr. verw. Geb.) Zbl0458.60058
  2. [2] M. BismutA generalized formula of Ito and some other properties of stochastic flowsZ. Wahr. verw. Geb.55, 1981, pp. 331-350. Zbl0456.60063MR608026
  3. [ 3 ] I.I. GikhmanOn the theory of differential equations of random processesUhr. Mat. Zb.2, n° 4, 1950, pp. 37-63. MR1315024
  4. [ 4 ] I.I. Gikhman and A.V. SkorokhodStochastic Differential equationsSpringer-Verlag, 1972. Zbl0242.60003
  5. [ 5 ] J. JacodCalcul stochastique et problèmes de martingalesLecture Notes Math. 714, Springer-Verlag, New York, 1979. Zbl0414.60053MR542115
  6. [ 6 ] J. JacodEquations différentielles stochastiques : continuité et dérivabilité en probabilité (Preprint) 
  7. [ 7 ] H. KunitaOn the decomposition of solutions of stochastic differential equations. Proc. of the L.M.S. Symposium on Stoch. Diff. Equations, Durham, juillet 1980, Lecture Notes in Math. Springer-Verlag, 1981. Zbl0474.60046MR620992
  8. [ 8 ] P. MalliavinStochastic Calculus of variations and Hypoelliptic operators. Proc. of the Intern. Symposium on Stochastic Differential Equations of Kyoto, 1976, pp. 195-263. Tokyo, Kinokuniya and New York, Wiley, 1978. Zbl0411.60060
  9. [ 9 ] M. MetivierStability theorems for stochastic Integral Equations driven by random measures and semimartingalesJ. of IntegraL Equations, 1980 (to appear). Zbl0478.60071MR623828
  10. [10 ] M. Metivier and J. PellaumailStochastic IntegrationAcad. Press.New York, 1980. Zbl0463.60004MR578177
  11. [11 ] P.A. MeyerFlot d'une équation différentielle stochastiqueSéminaire de Probabilité XV. Lecture Notes in Math. 850, Springer-Verlag, 1981. Zbl0461.60076MR622556
  12. [12 ] J. NeveuIntégrales stochastiques et applicationsCours de 3e CycLe. Univ. de Paris VI, 1971-1972. 
  13. [13 ] P. PriouretProcessus de diffusion et équations différentielles stochastiquesEcole d'Eté de Prob. de St-Flour. Lecture Notes in Math. 390, Springer-Verlag, 1974. Zbl0363.60064MR445625

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.