An Ito formula for domain-valued processes driven by stochastic flows

被引：5

作者：

Kinateder, K ^{[1
]}

McDonald, P

机构：

[1] Wright State Univ, Dept Math & Stat, Dayton, OH 45435 USA

[2] New Coll Florida, Dept Math, Sarasota, FL 34243 USA

来源：

PROBABILITY THEORY AND RELATED FIELDS | 2002年 / 124卷 / 01期

关键词：

stochastic flow; domain functional;

D O I：

10.1007/s004400200201

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a natural class of stochastic processes taking values in the space of smoothly bounded domains in R-n with compact closure. These processes are generated by stochastic flows on R-n which are obtained as the solutions of stochastic differential equations on R-n. We establish an Ito formula for smooth domain functionals, applied to processes in this class.

引用

页码：73 / 99

页数：27

共 6 条

[1] An Ito formula for domain-valued processes driven by stochastic flows
Kimberly Kinateder
Patrick McDonald
Probability Theory and Related Fields, 2002, 124 : 73 - 99
[2] STOCHASTIC EQUATIONS, FLOWS AND MEASURE-VALUED PROCESSES
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Li, Zenghu
ANNALS OF PROBABILITY, 2012, 40 (02) : 813 - 857
[3] Measure-valued Markov processes and stochastic flows
Dorogovtsev A.A.
Ukrainian Mathematical Journal, 2002, 54 (2) : 218 - 232
[4] Stochastic flows associated to coalescent processes
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Jean-Françcois Le Gall
Probability Theory and Related Fields, 2003, 126 : 261 - 288
[5] On stationary stochastic flows and palm probabilities of surface processes
Last, G
Schassberger, R
ANNALS OF APPLIED PROBABILITY, 2000, 10 (02) : 463 - 492
[6] Stochastic flows of diffeomorpbisms on manifolds driven by infinite-dimensional semimartingales with jumps
Applebaum, D
Tang, FC
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2001, 92 (02) : 219 - 236

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