A backward Itô–Ventzell formula with an application to stochastic interpolation - Inria - Institut national de recherche en sciences et technologies du numérique
Article Dans Une Revue Comptes Rendus. Mathématique Année : 2020

A backward Itô–Ventzell formula with an application to stochastic interpolation

Résumé

This Note and its extended version [7] present a novel backward Itô–Ventzell formula and anextension of the Aleeksev–Gröbner interpolating formula to stochastic flows. We also present some naturalspectral conditions that yield direct and simple proofs of time uniform estimates of the difference betweenthe two stochastic flows when their drift and diffusion functions are not the same.

Dates et versions

hal-03122845 , version 1 (27-01-2021)

Identifiants

Citer

Pierre del Moral, Sumeetpal Singh. A backward Itô–Ventzell formula with an application to stochastic interpolation. Comptes Rendus. Mathématique, 2020, 358 (7), pp.881-886. ⟨10.5802/crmath.110⟩. ⟨hal-03122845⟩
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