On the Itô–Alekseev–Gröbner formula for stochastic differential equations-Reference-Cited by-同舟云学术

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On the Itô–Alekseev–Gröbner formula for stochastic differential equations

Published:2024-05-01 Issue:2 Volume:60 Page:
ISSN:0246-0203
Container-title:Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
language:
Short-container-title:Ann. Inst. H. Poincaré Probab. Statist.

Author:

Hudde Anselm¹,Hutzenthaler Martin²,Jentzen Arnulf³,Mazzonetto Sara⁴

Affiliation:

1. Faculty of Mathematics and Technology, University of Applied Sciences Koblenz, Remagen, Germany

2. Faculty of Mathematics, University of Duisburg-Essen, Essen, Germany

3. School of Data Science and Shenzhen Research Institute of Big Data, The Chinese University of Hong Kong, Shenzhen (CUHK-Shenzhen), Shenzhen, China

4. Université de Lorraine, Institut Élie Cartan de Lorraine, Nancy, France

Publisher

Institute of Mathematical Statistics

Reference56 articles.

1. M. Hairer, M. Hutzenthaler and A. Jentzen. Loss of regularity for Kolmogorov equations. Ann. Probab. 43 (2) (2015) 468–527.

2. M. Hutzenthaler and A. Jentzen. On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients. Ann. Probab. 48 (1) (2020) 53–93.

3. X.-M. Li. Strong p-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds. Probab. Theory Related Fields 100 (4) (1994) 485–511.

4. X.-M. Li and M. Scheutzow. Lack of strong completeness for stochastic flows. Ann. Probab. 39 (4) (2011) 1407–1421.

5. X. Zhang. Stochastic flows and Bismut formulas for stochastic Hamiltonian systems. Stochastic Process. Appl. 120 (10) (2010) 1929–1949.

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