Multiplicative white noise functionals and the Krylov-Veretennikov expansion for coalescing stochastic flows

2011/07/25 by A. A. Dorogovtsev, Dorogovtsev, Andrey A., Andrey A. Dorogovtsev · 1 citation
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Stochastic processes and financial applications #advanced mathematical theories #math.PR #msc:60H25 #msc:60H40

paper · pdf · doi:10.48550/arxiv.1107.5026

24 pages

arxiv created 2011/07/25 · arxiv updated 2011/07/26

Abstract

In this article we consider multiplicative operator-valued white noise functionals related to a stochastic flow. A generalization of the Krylov-Veretennikov expansion is presented. An analog of such expansion for the Arratia flow is derived.

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• Krylov-Veretennikov desomposition for measure-valued processes induced by SDEs with interaction on Riemannian manifolds

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