Some Results of Backward Itô Formula

Authors

Guiseppe Da Prato, Scuola Normale Superiore
Jose-Luis Menaldi, Wayne State UniversityFollow
Luciano Tubaro, Università di Trento

Document Type

Article

Abstract

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.

Disciplines

Analysis | Numerical Analysis and Computation

Comments

This is an Accepted Manuscript of an article published by Taylor & Francis in Stochastic Analysis and Applications on 7 May 2007, available online: http://www.tandfonline.com/10.1080/07362990701283045.

Recommended Citation

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