A backward Itô–Ventzell formula with an application to stochastic interpolation

Author:

Del Moral Pierre,Singh Sumeetpal S.

Publisher

Cellule MathDoc/CEDRAM

Subject

General Mathematics

Reference10 articles.

1. [1] Alekseev, Vladimir An estimate for the perturbations of the solution of ordinary differential equations, Vestn. Mosk. Univ. (1961) no. 2, pp. 28-36

2. [2] Arnaudon, Marc; Del Moral, Pierre A duality formula and a particle Gibbs sampler for continuous time Feynman–Kac measures on path spaces (2018) (https://arxiv.org/abs/1805.05044)

3. [3] Arnaudon, Marc; Del Moral, Pierre A variational approach to nonlinear and interacting diffusions, Stochastic Anal. Appl., Volume 37 (2019) no. 5, pp. 717-748

4. [4] Arnaudon, Marc; Del Moral, Pierre A second order analysis of McKean–Vlasov semigroups, 2020 (To appear in The Annals of Applied Probability)

5. [5] Bishop, Adrian N.; Del Moral, Pierre; Niclas, Angèle A perturbation analysis of stochastic matrix Riccati diffusions, Ann. Inst. Henri Poincaré, Probab. Stat., Volume 56 (2020) no. 2, pp. 884-916

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