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Digitale Medien

Discrete wick calculus and stochastic functional equations (1992)

Holden, Helge ; Lindstrøm, Tom ; Øksendal, Bernt ; [weitere]

Springer

Potential analysis 1 (1992), S. 291-306

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Details

ISSN: 1572-929X

Schlagwort(e): Primary: 60H10, 60H15 ; Secondary: 81S25 ; Wick products ; stochastic differential equations ; toy Fock space

Quelle: Springer Online Journal Archives 1860-2000

Thema: Mathematik

Notizen: Abstract We develop Wick calculus over finite probability spaces and prove that there is a one-to-one correspondence between the solutions of Wick stochastic functional equations and the solutions of the deterministic functional equations obtained by ‘turning off’ the noise. We also point out some possible applications to ordinary and partial stochastic differential equations.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF00269512

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