Stochastic regularization effects of semi-martingales on random functions

2015/07/20 by Romain Duboscq, Duboscq, Romain, Anthony Réveillac +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Analysis of PDEs (math.AP) #FOS: Mathematics #Financial Risk and Volatility Modeling #Functional Analysis (math.FA) #Probabilistic and Robust Engineering Design #Probability (math.PR) #Risk and Portfolio Optimization #Statistical Mechanics and Entropy #Stochastic processes and financial applications #math.AP #math.FA #math.PR

paper · pdf · doi:10.48550/arxiv.1507.05579

openalex publication_date 2015/07/20 · arxiv created 2015/09/04 · arxiv updated 2015/09/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we address an open question formulated in [17]. That is, we extend the Itô-Tanaka trick, which links the time-average of a deterministic function f depending on a stochastic process X and F the solution of the Fokker-Planck equation associated to X, to random mappings f. To this end we provide new results on a class of adpated and non-adapted Fokker-Planck SPDEs and BSPDEs.

Citations

• Rough linear transport equation with an irregular drift

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