Càlcul estocàstic anticipatiu i aplicacions a les equacions diferencials estocàstiques

Project Details

Description

Our main purposes are the following:
1)To obtain integral representations of random variables defined on the Wiener space in the plane
2)To construct an stochastic integral with respect to anticipative processes
3)To give sufficient conditions for a random variable, F, defined on a Wiener space to have a smooth density, by using some technique of the stochastic calculus of variations:
a)When F is the solution of a hyperbolic SDE in the plane in a fixed point
b)When F is a functional of the whole path of a continuous process

StatusFinished
Effective start/end date1/04/9131/03/92

Funding

  • Universitat Autònoma de Barcelona (UAB): €5,409.11

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