We use the notion of backward integration, with respect to a general Lévy process, to treat, in a simpler and unifying way, various classical topics as: Girsanov theorem, rst order partial differential equations, the Liouville (or Lyapunov) equations and the stochastic characteristic method.
Analysis | Numerical Analysis and Computation
G. Da Prato, J.-L. Menaldi and L. Tubaro. Some results of backward Itô formula, Stochastic Anal. Appl. 25 679-703 (2007). doi: 10.1080/07362990701283045