This leads to a noncommutative Ito product formula, a realisation of the classical Poisson process in Fock space which gives a noncommutative central limit theorem, the construction of solutions of certain noncommutative stochastic differential equations, and finally to the integration of certain ...
This leads to a noncommutative Ito product formula, a realisation of the classical Poisson process in Fock space which gives a noncommutative central limit theorem, the construction of solutions of certain noncommutative stochastic differential equations, and finally to the integration of certain ...
Liu process is a type of fuzzy process and is the counter- part of Brownian motion(Wiener process)in stochastic process,Liu formula in fuzzy process is cor... C You 被引量: 33发表: 2007年 Lyapunov functions and non-trivial stationary solutions of stochastic differential equations Classical cond...
. . . . . . . . . . . . 43 2.7.1 Standard Brownian motion . . . . . . . . . . . . . . . . . 43 2.7.2 Brownian motion with reflecting barrier at a = 0 . . . . . 45 2.7.3 Poisson process . . . . . . . . . . . . . . . . . . . . . . ....
Tappe: Ito's formula for Banach space-valued jump processes driven by Poisson random measures. In: C. Dalang, M. Dozzi, F. Russo (eds.): Seminar on stochastic analysis, random fields and applications VII. Centro Stefano Franscini, Ascona, May 2011. Progress in Probability 67. Birkhauser, ...
The compensated process yt = xt − λt, which is called no...V. P. Belavkin, The Unified Ito Formula Has the Pseudo-Poisson Structure. J. Math. Phys. 34, No. 4, 1508-18 (1993).The Unified Itô Formula Has the Pseudo-Poisson Structure - Belavkin - 1993 () Citation Context ...
However, integrating a time dependent process in the stochastic sense, namely with respect to the associated Brownian motion, leads to interesting analytical and numerical facts and studies. The main concern of this paper is to provide a recurrence formula (theorem 3.5) for simulating a class of ...
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the ...
To replace the false functional generalisation [1] of Hudson and Parthasarathy's Ito formula [2] we exposite a universal pseudo-Poisson one, recently discovered within the *-Ito non-commutative algebraic approach in [3]. Our formula unifies the classical Ito formulas for Wiener and Poisson ...
We use Yosida approximation to find an It\\^o formula for mild solutions\n$\\left\\{X^x(t), t\\geq 0ight\\}$ of SPDEs with Gaussian and non-Gaussian\ncoloured noise, the non Gaussian noise being defined through compensated\nPoisson random measure associated to a L\\'evy process. ...