Ornstein-Uhlenbeck operator and Wiener functionals generated by Itô- and McShane-calculus. (English) Zbl 0619.60058
The relationship between the vector Ornstein-Uhlenbeck operator L and the Itô- and McShane-calculus is discussed. The Wiener functionals generated by both Itô- and McShane-calculus are studied.
Reviewer: D.Jaruškova
MSC:
| 60H05 | Stochastic integrals |
| 60H25 | Random operators and equations (aspects of stochastic analysis) |
| 60J60 | Diffusion processes |
References:
| [1] | Ladde G.S., Random Differential Inequalities (1980) · Zbl 0466.60002 |
| [2] | Liptser R.S., General Theory (1977) |
| [3] | DOI: 10.1214/aop/1176996973 · Zbl 0263.60035 · doi:10.1214/aop/1176996973 |
| [4] | McShane E.J., Stochastic Calculus and Stochastic Models (1974) · Zbl 0292.60090 |
| [5] | Shigekawa I., J. Math. Kyoto Univ 20 pp 263– (1980) |
| [6] | stroock D.W., Lect. Notes in Math 976 pp 268– (1983) |
| [7] | Lectures on Stochastic Differential Equations and Malliavin Calculus · Zbl 0546.60054 |
| [8] | DOI: 10.1007/BFb0088721 · doi:10.1007/BFb0088721 |
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