| Description |
1 online resource (v, 135 pages) |
| Series |
Memoirs of the American Mathematical Society, 0065-9266 ; volume 249, number 1185 |
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Memoirs of the American Mathematical Society ; no. 1185.
|
| Contents |
Introduction, Basic Objects, and Main Result -- Flows and Logarithmic Derivative Relative to X under Orthogonal Projection -- The Density Formula -- Partial Integration -- Relative Compactness of Particle Systems -- Appendix A: Basic Malliavin Calculus for Brownian Motion with Random Initial Data -- References -- Index |
| Summary |
The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A\equiv A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process. Absolute continuity of (X, P) under time shift of trajectories is investigated. For example under various conditions on the initial density with respect to the Lebesgue measure, m, and on A with A_0=0 we verify \frac{P(dX_{\cdot -t})}{P(dX_\cdot)}=\frac{m(X_{-t} |
| Notes |
"Volume 249, Number 1185 (sixth of 8 numbers), September 2017." |
| Bibliography |
Includes bibliographical references (pages 133-134) and index |
| Notes |
Print version record |
| Subject |
Continuity.
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Stochastic processes.
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Jump processes.
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MATHEMATICS -- Calculus.
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MATHEMATICS -- Mathematical Analysis.
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Continuity
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Jump processes
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Stochastic processes
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| Form |
Electronic book
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| Author |
American Mathematical Society, publisher
|
| ISBN |
9781470441371 |
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1470441373 |
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