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

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