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
收藏
页码：73 / 99
页数：27
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