The Library
Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations
Tools
Kolokoltsov, V. N. (Vasiliĭ Nikitich), Schilling, René L. and Tyukov, Alexei E. (2004) Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations. Revista Matematika Iberoamerikana, Vol.20 (No.2). pp. 333-380.
|
PDF
WRAP_kolokoltsov_euclid.rmi.1087482018.pdf - Published Version - Requires a PDF viewer. Download (473Kb) |
Official URL: http://projecteuclid.org/euclid.rmi/1087482018
Abstract
We study stochastic Hamilton-Jacobi-Bellman equations and the
corresponding Hamiltonian systems driven by jump-type Lévy processes.
The main objective of the present paper is to show existence,
uniqueness and a (locally in time) diffeomorphism property of the solution:
the solution trajectory of the system is a diffeomorphism as a
function of the initial momentum. This result enables us to implement
a stochastic version of the classical method of characteristics for the
Hamilton-Jacobi equations. An –in itself interesting– auxiliary result
are pointwise a.s. estimates for iterated stochastic integrals driven by
a vector of not necessarily independent jump-type semimartingales.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Stochastic processes, Hamilton-Jacobi equations, Hamiltonian systems, Lévy processes | ||||
Journal or Publication Title: | Revista Matematika Iberoamerikana | ||||
Publisher: | Departamento de Matemáticas, Universidad Autónoma de Madrid | ||||
Official Date: | 2004 | ||||
Dates: |
|
||||
Volume: | Vol.20 | ||||
Number: | No.2 | ||||
Page Range: | pp. 333-380 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 16 June 2016 | ||||
Date of first compliant Open Access: | 16 June 2016 | ||||
Funder: | Nottingham Trent University (NTU), Nuffield Foundation (NF) | ||||
Grant number: | RF175 (NTU), NAL/00056/G (NF) |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year