Prospective Kolmogorov equation of non-Markovian stochastic processes

A. Plucińska

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Displaying similar documents to “Prospective Kolmogorov equation of non-Markovian stochastic processes”

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Discussiones Mathematicae Probability and Statistics

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Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.

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Z. Ivković, J. Vukmirović (1976)

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Nadzeya V. Bedziuk, Aleh L. Yablonski (2010)

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We consider an ordinary or stochastic nonlinear equation with generalized coefficients as an equation in differentials in the algebra of new generalized functions in the sense of [8]. Consequently, the solution of such an equation is a new generalized function. We formulate conditions under which the solution of a given equation in the algebra of new generalized functions is associated with an ordinary function or process. Moreover the class of all possible associated functions and processes...

A Characterization Of Cramér Representation Of Stochastic Processes

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Michał Kisielewicz (1997)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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The definition and some existence theorems for stochastic differential inclusions depending only on selections theorems are given.

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Michael Weba (1986)

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Stochastic differential inclusions

Michał Kisielewicz (1999)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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An elementary property of conditional mathematical expectation. Application to the linear regularity of stochastic processes

Z. A. Ivković (1969)

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A second order SDE for the Langevin process reflected at a completely inelastic boundary

Jean Bertoin (2008)

Journal of the European Mathematical Society

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It was shown in [2] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.