Characterizing Gaussian Flows Arising from Itô’s Stochastic Differential Equations View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2017-02

AUTHORS

Suprio Bhar

ABSTRACT

In order to identify which of the strong solutions of Itô’s stochastic differential equations (SDEs) are Gaussian, we introduce a class of diffusions which ‘depend deterministically on the initial condition’ and then characterize the class. This characterization allows us to show, using the Monotonicity inequality, that the transpose of the flows generated by the SDEs, for an extended class of initial conditions, are the unique solutions of the class of stochastic partial differential equations introduced in Rajeev and Thangavelu (Potential Anal. 28(2), 139–162 2008), ‘Probabilistic Representations of Solutions of the Forward Equations’. More... »

PAGES

261-277

References to SciGraph publications

Journal

TITLE

Potential Analysis

ISSUE

2

VOLUME

46

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11118-016-9578-6

DOI

http://dx.doi.org/10.1007/s11118-016-9578-6

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1040197724


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