Handa, Masahiro; Sakuma, Noriyoshi; Suzuki, Ryoichi A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization. (English) Zbl 07936907 Ann. Finance 20, No. 3, 329-352 (2024). MSC: 91G10 91G20 60H07 60J74 × Cite Format Result Cite Review PDF Full Text: DOI
Qian, Zhongmin; Yao, Yuhan McKean-Vlasov type stochastic differential equations arising from the random vortex method. (English) Zbl 1490.60205 SN Partial Differ. Equ. Appl. 3, No. 1, Paper No. 7, 22 p. (2022). MSC: 60H30 35Q30 76D17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David Correction to: “Cylindrical martingale problems associated with Lévy generators”. (English) Zbl 1517.60090 J. Theor. Probab. 33, No. 3, 1791-1800 (2020). Reviewer: Martin Ondreját (Praha) MSC: 60J25 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Criens, David Cylindrical martingale problems associated with Lévy generators. (English) Zbl 1486.60094 J. Theor. Probab. 32, No. 3, 1306-1359 (2019); correction ibid. 33, No. 3, 1791-1800 (2020). Reviewer: Martin Ondreját (Praha) MSC: 60J25 60H15 60G48 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lejay, Antoine The Girsanov theorem without (so much) stochastic analysis. (English) Zbl 1452.60033 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLIX. Cham: Springer. Lect. Notes Math. 2215, 329-361 (2018). MSC: 60H05 60H10 60H35 60J25 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Stroock, Daniel W. Elements of stochastic calculus and analysis. (English) Zbl 1428.60001 CRM Short Courses. Cham: Springer (ISBN 978-3-319-77037-6/hbk; 978-3-319-77038-3/ebook). xiv, 206 p. (2018). Reviewer: Jordan M. Stoyanov (Sofia) MSC: 60-01 60H05 60H07 60H30 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Sznitman, Alain-Sol Disconnection and level-set percolation for the Gaussian free field. (English) Zbl 1337.60246 J. Math. Soc. Japan 67, No. 4, 1801-1843 (2015). Reviewer: Weiping Li (Stillwater) MSC: 60K35 60G60 60G15 60G50 60F10 82B43 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Deng, Chang-Song; Schilling, René L. On a Cameron-Martin type quasi-invariance theorem and applications to subordinate Brownian motion. (English) Zbl 1329.60289 Stochastic Anal. Appl. 33, No. 6, 975-993 (2015). MSC: 60J65 60H05 60J75 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Groeneboom, Piet; Lalley, Steven; Temme, Nico Chernoff’s distribution and differential equations of parabolic and Airy type. (English) Zbl 1382.60106 J. Math. Anal. Appl. 423, No. 2, 1804-1824 (2015). MSC: 60J65 35K20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Osypchuk, M. M.; Portenko, M. I. On Ornstein-Uhlenbeck’s measure of a Hilbert ball in the space of continuous functions. (English) Zbl 1313.60141 Theory Stoch. Process. 19, No. 1, 46-51 (2014). MSC: 60J60 60G07 × Cite Format Result Cite Review PDF
Birnir, Björn The Kolmogorov-Obukhov statistical theory of turbulence. (English) Zbl 1282.76112 J. Nonlinear Sci. 23, No. 4, 657-688 (2013). MSC: 76F55 76M35 60H15 35Q30 76D05 × Cite Format Result Cite Review PDF Full Text: DOI
Akahori, Jirô; Amaba, Takafumi; Uraguchi, Sachiyo An algebraic approach to the Cameron-Martin-Maruyama-Girsanov formula. (English) Zbl 1318.60062 Math. J. Okayama Univ. 55, 167-190 (2013). MSC: 60H07 28C20 46T12 × Cite Format Result Cite Review PDF Full Text: arXiv
Barczy, M.; Pap, G. Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions. (English) Zbl 1215.60015 J. Math. Anal. Appl. 380, No. 2, 405-424 (2011). MSC: 60E10 60J60 62F10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liu, Yanchu; Zhang, Shuguang Maximizing the probability of a perfect hedge in the case of stochastic interest rate. (English) Zbl 1229.91292 Am. J. Math. Manage. Sci. 30, No. 1-2, Spec. Issue, 179-196 (2010). MSC: 91G10 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Yano, Kouji Cameron-Martin formula for the \(\sigma \)-finite measure unifying Brownian penalisations. (English) Zbl 1194.60049 J. Funct. Anal. 258, No. 10, 3492-3516 (2010). MSC: 60J65 60H05 60J45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cho, Dong Hyun A simple formula for an analogue of conditional Wiener integrals and its applications. II. (English) Zbl 1224.28031 Czech. Math. J. 59, No. 2, 431-452 (2009). MSC: 28C20 × Cite Format Result Cite Review PDF Full Text: DOI EuDML Link
Liu, Fei; Luo, Yu-Pin; Huang, Ming-Chang; Ou-Yang, Zhong-Can A generalized integral fluctuation theorem for general jump processes. (English) Zbl 1179.82016 J. Phys. A, Math. Theor. 42, No. 33, Article ID 332003, 7 p. (2009). MSC: 82B10 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cho, Dong Hyun A simple formula for an analogue of conditional Wiener integrals and its applications. (English) Zbl 1151.28017 Trans. Am. Math. Soc. 360, No. 7, 3795-3811 (2008). Reviewer: Hiroaki Shimomura (Tokyo) MSC: 28C20 × Cite Format Result Cite Review PDF Full Text: DOI
Brockwell, Peter J.; Davis, Richard A.; Yang, Yu Continuous-time Gaussian autoregression. (English) Zbl 1145.62070 Stat. Sin. 17, No. 1, 63-80 (2007). MSC: 62M10 62M09 60H10 × Cite Format Result Cite Review PDF
Da Prato, Giuseppe An introduction to infinite-dimensional analysis. (English) Zbl 1109.46001 Universitext. Berlin: Springer (ISBN 3-540-29020-6/pbk). x, 210 p. (2006). Reviewer: Niels Jacob (Swansea) MSC: 46-02 46G10 47D07 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Stroock, Daniel W.; Varadhan, S. R. Srinivasa Multidimensional diffusion processes. Reprint of the 2nd correted printing (1997). (English) Zbl 1103.60005 Classics in Mathematics. Berlin: Springer (ISBN 3-540-28998-4/hbk). xii, 338 p. (2006). Reviewer: Pavel Gapeev (Berlin) MSC: 60-02 60J60 60G44 60J25 60H10 60F17 93Exx × Cite Format Result Cite Review PDF Backlinks: MO
Bischoff, Wolfgang; Hashorva, Enkelejd A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend. (English) Zbl 1074.60087 Stat. Probab. Lett. 74, No. 3, 265-271 (2005). MSC: 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Ikeda, Nobuyuki; Taniguchi, Setsuo Quadratic Wiener functionals, Kalman-Bucy filters, and the KdV equation. (English) Zbl 1057.60055 Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 167-187 (2004). MSC: 60H05 35Q53 37K10 60G15 × Cite Format Result Cite Review PDF
Albeverio, S.; Guatteri, G.; Mazzucchi, S. A representation of the Belavkin equation via Feynman path integrals. (English) Zbl 1028.81035 Probab. Theory Relat. Fields 125, No. 3, 365-380 (2003). Reviewer: G.Roepstorff (Aachen) MSC: 81S40 60H15 60H05 81P15 × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Yuh-Jia; Shih, Hsin-Hung The Clark formula of generalized Wiener functionals. (English) Zbl 1027.60075 Hida, Takeyuki (ed.) et al., Quantum information IV. Proceedings of the 4th international conference, Meijo Univ., Nagoya, Japan, February 27 - March 1, 2001. Singapore: World Scientific. 127-145 (2002). Reviewer: Zagorka Lozanov-Crvenković (Novi Sad) MSC: 60H40 × Cite Format Result Cite Review PDF
Zohar, Gady Maximizing the probability of achieving a goal in the case of a partially observed drift process. (English) Zbl 1153.91582 Int. J. Theor. Appl. Finance 4, No. 2, 321-333 (2001). MSC: 91G10 93E20 93E11 × Cite Format Result Cite Review PDF Full Text: DOI
Deheuvels, P.; Lifshits, M. A. Small ball probabilities for a shifted Poisson process. (English. Russian original) Zbl 1077.60034 J. Math. Sci., New York 118, No. 6, 5541-5554 (2003); translation from Zap. Nauchn. Semin. POMI 278, 63-85 (2001). Reviewer: Anatoli Mogulskij (Novosibirsk) MSC: 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Da Prato, Giuseppe An introduction to infinite dimensional analysis. (English) Zbl 1065.46001 Appunti dei Corsi Tenuti da Docenti della Scuola. Pisa: Scuola Normale Superiore. viii, 184 p. (2001). Reviewer: Niels Jacob (Swansea) MSC: 46-02 46G10 47D07 60J65 × Cite Format Result Cite Review PDF
Kleptsyna, M. L.; le Breton, A. Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals. (English) Zbl 0988.60023 J. Appl. Math. Stochastic Anal. 14, No. 3, 215-226 (2001). Reviewer: Pavel Gapeev (Berlin) MSC: 60G15 93E11 60G44 62M20 60G35 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Bobryk, Roman; Stettner, Łukasz A closure method for randomly perturbed linear systems. (English) Zbl 0985.60059 Demonstr. Math. 34, No. 2, 415-424 (2001). Reviewer: Wilfried Grecksch (Halle) MSC: 60H10 34F05 34E05 × Cite Format Result Cite Review PDF Full Text: DOI
Chiang, Tzuu-Shuh; Sheu, Shuenn-Jyi Large deviation of diffusion processes with discontinuous drift and their occupation times. (English) Zbl 1044.60065 Ann. Probab. 28, No. 1, 140-165 (2000). MSC: 60J60 60F10 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Hu, Yaozhong Prediction and translation of fractional Brownian motions. (English) Zbl 0973.60059 Hida, Takeyuki (ed.) et al., Stochastics in finite and infinite dimensions. Conference in honor of Gopinath Kallianpur, Calcutta, India, December 18-23, 2000. Boston: Birkhäuser. 153-171 (2000). Reviewer: Dirk Blömker (Augsburg) MSC: 60H05 60G60 60G25 60H30 60J65 35S15 60G15 × Cite Format Result Cite Review PDF
Luo, S. L.; Yan, J. A. A complex scaling approach to sequential Feynman integrals. (English) Zbl 0962.60059 Stochastic Processes Appl. 79, No. 2, 287-300 (1999). MSC: 60H30 60J55 60J65 60H99 81Q05 × Cite Format Result Cite Review PDF Full Text: DOI
Cambronero, S.; McKean, H. P. The ground state eigenvalue of Hill’s equation with white noise potential. (English) Zbl 0931.34072 Commun. Pure Appl. Math. 52, No. 10, 1277-1294 (1999). Reviewer: S.Cambronero (San Jose), H.P.McKean (New York) MSC: 34L40 81Q15 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Zhixiang Large deviation for a discontinuous nonhomogeneous system. (English) Zbl 1054.60500 Adv. Math., Beijing 27, No. 2, 166-174 (1998). MSC: 60F10 60H10 × Cite Format Result Cite Review PDF
Li, Wenbo V.; Kuelbs, James Some shift inequalities for Gaussian measures. (English) Zbl 0912.60039 Eberlein, Ernst (ed.) et al., High dimensional probability. Proceedings of the conference, Oberwolfach, Germany, August 1996. Basel: Birkhäuser. Prog. Probab. 43, 233-243 (1998). Reviewer: A.Janssen (Düsseldorf) MSC: 60E15 60G15 62F03 × Cite Format Result Cite Review PDF
Malliavin, Paul; Taniguchi, Setsuo Analytic functions, Cauchy formula, and stationary phase on a real abstract Wiener space. (English) Zbl 0873.60040 J. Funct. Anal. 143, No. 2, 470-528 (1997). Reviewer: P.Vallois (Nancy) MSC: 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Léandre, R.; Norris, J. R. Integration by parts and Cameron-Martin formulas for the free path space of a compact Riemannian manifold. (English) Zbl 0889.60058 Azéma, J. (ed.) et al., Séminaire de probabilités XXXI. Berlin: Springer. Lect. Notes Math. 1655, 16-23 (1997). Reviewer: M.M.Rao (Riverside) MSC: 60H05 60G30 × Cite Format Result Cite Review PDF Full Text: Numdam EuDML
Brockwell, P. J.; Williams, R. J. On the existence and application of continuous-time threshold autoregressions of order two. (English) Zbl 0882.60079 Adv. Appl. Probab. 29, No. 1, 205-227 (1997). MSC: 60J60 60J35 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
Chiang, Tzuu-Shuh; Sheu, Shuenn-Jyi Large deviation of small perturbation of some unstable systems. (English) Zbl 0873.60013 Stochastic Anal. Appl. 15, No. 1, 31-50 (1997). MSC: 60F10 60J05 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Tanaka, Katsuto Time series analysis. Nonstationary and noninvertible distribution theory. (English) Zbl 0861.62062 Wiley Series in Probability and Mathematical Statistics. New York, NY: Wiley. x, 623 p. (1996). Reviewer: J.Anděl (Praha) MSC: 62M10 62-01 62-02 60F17 × Cite Format Result Cite Review PDF
Albeverio, Sergio; Wu, Jiang-Lun A mathematical flat integral realization and a large deviation result for the free Euclidean field. (English) Zbl 0864.28008 Acta Appl. Math. 45, No. 3, 317-348 (1996). Reviewer: N.Angelescu (Bucureşti) MSC: 28C20 60F10 81T10 26E35 03H05 × Cite Format Result Cite Review PDF Full Text: DOI
Stramer, O. On the approximation of moments for continuous time threshold ARMA processes. (English) Zbl 0849.62053 J. Time Ser. Anal. 17, No. 2, 189-202 (1996). MSC: 62M10 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Gerencsér, L. Slow stochastic approximation processes are good for estimating slope. (English) Zbl 0839.62077 Theory Probab. Appl. 40, No. 1, 145-151 (1995) and Teor. Veroyatn. Primen. 40, No. 1, 192-199 (1995). MSC: 62L20 60F15 × Cite Format Result Cite Review PDF
Carmona, René A.; Yan, J. A. A new space of white noise distributions and applications to SPDE’s. (English) Zbl 0836.60045 Bolthausen, Erwin (ed.) et al., Seminar on stochastic analysis, random fields and applications. Proceedings of a seminar held at the Centro Stefano Franscini, Ascona, Switzerland, June 7-12, 1993. Basel: Birkhäuser. Prog. Probab. 36, 51-66 (1995). Reviewer: I.Dôku (Urawa) MSC: 60G20 60H15 60G60 × Cite Format Result Cite Review PDF
Conlon, Joseph G.; Redondo, Juan Estimates on the solution of an elliptic equation related to Brownian motion with drift. (English) Zbl 0828.35037 Rev. Mat. Iberoam. 11, No. 1, 1-65 (1995). Reviewer: J.Conlon (Ann Arbor) MSC: 35J25 35B45 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Feyel, Denis; de la Pradelle, Arnaud Brownian processes in infinite dimension. (English) Zbl 0822.60070 Potential Anal. 4, No. 2, 173-183 (1995). Reviewer: J.Bertoin (Paris) MSC: 60J65 60H10 34F05 60G15 × Cite Format Result Cite Review PDF Full Text: DOI
Singpurwalla, Nozer D. Survival in dynamic environments. (English) Zbl 1148.62314 Stat. Sci. 10, No. 1, 86-103 (1995). MSC: 62N05 62M99 × Cite Format Result Cite Review PDF Full Text: DOI
Elworthy, K. D.; Truman, A.; Zhao, H. Z.; Gaines, J. G. Approximate travelling waves for generalized KPP equations and classical mechanics. (English) Zbl 0812.35123 Proc. R. Soc. Lond., Ser. A 446, No. 1928, 529-554 (1994). MSC: 35Q53 37C10 70F99 × Cite Format Result Cite Review PDF Full Text: DOI
Feng, Shui Large deviations for Markov processes with mean field interaction and unbounded jumps. (English) Zbl 0814.60024 Probab. Theory Relat. Fields 100, No. 2, 227-252 (1994). Reviewer: J.Steinebach (Marburg) MSC: 60F10 60J75 60K35 82C26 × Cite Format Result Cite Review PDF Full Text: DOI
Rezende, Jorge Feynman integrals and Fredholm determinants. (English) Zbl 0816.46080 J. Math. Phys. 35, No. 8, 4357-4371 (1994). MSC: 46N50 81Q20 81S40 81Q30 × Cite Format Result Cite Review PDF Full Text: DOI
Feyel, Denis; de la Pradelle, Arnaud Linear Gaussian operators. (Opérateurs linéaires gaussiens.) (French) Zbl 0825.46013 Bertin, Emile, ICPT ’91. Proceedings from the international conference on potential theory, Amersfoort, The Netherlands, August 18-24, 1991. Dordrecht: Kluwer Academic Publishers. 89-105 (1994). MSC: 46G12 28C20 28A12 31C15 47B15 47B10 47B38 60B11 × Cite Format Result Cite Review PDF
Uchiyama, Kôhei Scaling limits of interacting diffusions with arbitrary initial distributions. (English) Zbl 0801.60092 Probab. Theory Relat. Fields 99, No. 1, 97-110 (1994). Reviewer: K.Uchiyama (Tokyo) MSC: 60K35 × Cite Format Result Cite Review PDF Full Text: DOI
Brockwell, P. J. On continuous-time threshold ARMA processes. (English) Zbl 0797.62072 J. Stat. Plann. Inference 39, No. 2, 291-303 (1994). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Feyel, Denis; de la Pradelle, Arnaud Gaussian linear operators. (Opérateurs linéaires gaussiens.) (French) Zbl 0808.46059 Potential Anal. 3, No. 1, 89-105 (1994). MSC: 46G12 28C20 28A12 31C15 47B15 47B25 47B38 60B11 47B10 × Cite Format Result Cite Review PDF Full Text: DOI
Enchev, Ognian Nonlinear transformations on the Wiener space. (English) Zbl 0803.60048 Ann. Probab. 21, No. 4, 2169-2188 (1993). Reviewer: R.Buckdahn (Brest) MSC: 60H05 60B11 60B05 60H07 46G12 47A53 47A68 × Cite Format Result Cite Review PDF Full Text: DOI
Smolyanov, O. G.; von Weizsäcker, H. Differentiable families of measures. (English) Zbl 0795.46015 J. Funct. Anal. 118, No. 2, 454-476 (1993). MSC: 46E27 46G05 46G12 × Cite Format Result Cite Review PDF Full Text: DOI
Ben Arous, G.; Ledoux, M. Schilder’s large deviation principle without topology. (English) Zbl 0801.60019 Elworthy, K. D. (ed.) et al., Asymptotic problems in probability theory: Wiener functionals and asymptotics. Proceedings of the 26th Taniguchi international symposium, Sanda and Kyoto, Japan, August 31 - September 5, 1990. Harlow, Essex: Longman Scientific & Technical. Pitman Res. Notes Math. Ser. 284, 107-121 (1993). Reviewer: W.Bryc (Cincinnati) MSC: 60F10 × Cite Format Result Cite Review PDF
Kawazu, Kiyoshi; Tanaka, Hiroshi On the maximum of a diffusion process in a drifted Brownian environment. (English) Zbl 0791.60071 Azéma, J. (ed.) et al., Séminaire de probabilités XXVII. Berlin: Springer-Verlag. Lect. Notes Math. 1557, 78-85 (1993). Reviewer: N.M.Zinchenko (Kiev) MSC: 60J65 60J60 × Cite Format Result Cite Review PDF Full Text: Numdam EuDML
Yashin, A. I. An extension of the Cameron-Martin result. (English) Zbl 0768.60040 J. Appl. Probab. 30, No. 1, 247-251 (1993). MSC: 60G44 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Buckdahn, Rainer Anticipative Girsanov transformations and Skorohod stochastic differential equations. (English) Zbl 0754.60056 Seminarberichte. Humboldt-Universität zu Berlin, Fachbereich Mathematik 92-2. Berlin: Humboldt-Universität, Fachbereich Mathematik. 88 p. (1992). Reviewer: D.Nualart (Barcelona) MSC: 60H10 × Cite Format Result Cite Review PDF
Storchak, S. N. Homogeneous point transformation and reparametrization of paths in path integrals for fourth-order differential equations. (English. Russian original) Zbl 0786.60123 Theor. Math. Phys. 93, No. 1, 1091-1100 (1992); translation from Teor. Mat. Fiz. 93, No. 1, 17-31 (1992). MSC: 60K40 81S25 60H05 × Cite Format Result Cite Review PDF Full Text: DOI
Driver, Bruce K. A Cameron-Martin type quasi-invariance theorem for Brownian motion on a compact Riemannian manifold. (English) Zbl 0765.60064 J. Funct. Anal. 110, No. 2, 272-376 (1992). MSC: 60H99 58J65 × Cite Format Result Cite Review PDF Full Text: DOI
Jona-Lasinio, G. Large deviations for weak solutions of stochastic differential equations. (English) Zbl 0774.60053 Ideas and methods in mathematical analysis, stochastics and applications. In memory of R. Høegh-Krohn, Vol. 1, 162-167 (1992). Reviewer: He Sheng Wu (Shanghai) MSC: 60H10 60F10 60J60 × Cite Format Result Cite Review PDF
Mortimer, T. M.; Williams, David Change of measure up to a random time: Theory. (English) Zbl 0757.60041 J. Appl. Probab. 28, No. 4, 914-918 (1991). Reviewer: A.F.Gualtierotti (Lausanne) MSC: 60G44 60H05 60J25 × Cite Format Result Cite Review PDF Full Text: DOI
Bru, Marie-France Wishart processes. (English) Zbl 0737.60067 J. Theor. Probab. 4, No. 4, 725-751 (1991). MSC: 60J60 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Chung, K. L.; Williams, R. J. Introduction to stochastic integration. 2nd ed. (English) Zbl 0725.60050 Probability and Its Applications. Boston, MA etc.: Birkhäuser. xv, 276 p. DM 68.00 (1990). Reviewer: E.Dettweiler (Reutlingen) MSC: 60H05 60-02 60H10 60J65 × Cite Format Result Cite Review PDF
Albeverio, Sergio; Röckner, Michael Classical Dirichlet forms on topological vector spaces — closability and a Cameron-Martin formula. (English) Zbl 0737.46036 J. Funct. Anal. 88, No. 2, 395-436 (1990). Reviewer: J.Szulga (Auburn) MSC: 46G12 60H07 60J65 60B11 46A03 47N50 × Cite Format Result Cite Review PDF Full Text: DOI
Estrade, Anne Sur l’intégrale stochastique multiplicative discontinue. (On discontinuous multiplicative stochastic integral). (French) Zbl 0729.60045 C. R. Acad. Sci., Paris, Sér. I 311, No. 12, 797-799 (1990). MSC: 60H05 × Cite Format Result Cite Review PDF
Mishura, Yu. S. A martingale characterization of diffusion random fields on the plane. (English. Russian original) Zbl 0724.60050 Theory Probab. Appl. 35, No. 1, 152-157 (1990); translation from Teor. Veroyatn. Primen. 35, No. 1, 143-147 (1990). MSC: 60G44 60G60 60G48 × Cite Format Result Cite Review PDF Full Text: DOI
Ikeda, Nobuyuki Probability theory and its applications - the work of Prof. Shinzo Watanabe. (Japanese) Zbl 0723.60062 Sûgaku 42, No. 2, 161-170 (1990). Reviewer: M.Nisio (Rokko/Kobe) MSC: 60H07 60H30 60-03 01A65 × Cite Format Result Cite Review PDF
Cutland, Nigel J. An action functional for Lévy Brownian motion. (English) Zbl 0704.60107 Acta Appl. Math. 18, No. 3, 261-281 (1990). Reviewer: R.A.Herrmann MSC: 60K99 03H05 60F10 26E05 60G15 60G60 × Cite Format Result Cite Review PDF Full Text: DOI
Mishura, Yu. S. Martingale characterization of diffusion random fields given on a plane. (Russian) Zbl 0699.60033 Teor. Veroyatn. Primen. 35, No. 1, 143-147 (1990). Reviewer: Yu.S.Mishura MSC: 60G44 60G60 60G48 × Cite Format Result Cite Review PDF
Zhang, Weijian Conditional expectations of Brownian functionals and their applications. (English) Zbl 0675.60068 Stochastic Processes Appl. 31, No. 1, 117-131 (1989). Reviewer: P.Salminen MSC: 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Cutland, Nigel The Brownian bridge as a flat integral. (English) Zbl 0735.60082 Math. Proc. Camb. Philos. Soc. 106, No. 2, 343-354 (1989). MSC: 60J65 03H05 × Cite Format Result Cite Review PDF Full Text: DOI
Park, Chull; Skoug, David A simple formula for conditional Wiener integrals with applications. (English) Zbl 0655.28007 Pac. J. Math. 135, No. 2, 381-394 (1988). MSC: 28C20 60B11 × Cite Format Result Cite Review PDF Full Text: DOI
Cameron, R. H.; Storvick, D. A. Change of scale formulas for Wiener integral. (English) Zbl 0653.28005 Functional integration with emphasis on the Feynman integral, Proc. Workshop, Sherbrooke/Can. 1986, Suppl. Rend. Circ. Mat. Palermo, II. Ser. 17, 105-115 (1988). Reviewer: P.Raboin MSC: 28C20 × Cite Format Result Cite Review PDF
Skokan, Václav Generalization of the Girsanov theorem. (English) Zbl 0648.60068 Commentat. Math. Univ. Carol. 29, No. 1, 127-141 (1988). Reviewer: E.Dettweiler MSC: 60H20 60G57 60H05 × Cite Format Result Cite Review PDF Full Text: EuDML
Salminen, Paavo On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary. (English) Zbl 0647.60087 Adv. Appl. Probab. 20, No. 2, 411-426 (1988). Reviewer: Qian Minping MSC: 60J65 58J65 × Cite Format Result Cite Review PDF Full Text: DOI
Uchiyama, Kōhei Fluctuations in a Markovian system of pairwise interacting particles. (English) Zbl 0635.60092 Probab. Theory Relat. Fields 79, No. 2, 289-302 (1988). Reviewer: K.Uchiyama MSC: 60J70 60K35 × Cite Format Result Cite Review PDF Full Text: DOI
Üstünel, A. S. Representation of the distributions on Wiener space and stochastic calculus of variations. (English) Zbl 0638.46031 J. Funct. Anal. 70, 126-139 (1987). Reviewer: A.S.Üstünel MSC: 46F25 60H07 28C20 46G12 × Cite Format Result Cite Review PDF Full Text: DOI
Cutland, Nigel J. Infinitesimals in action. (English) Zbl 0586.28013 J. Lond. Math. Soc., II. Ser. 35, 202-216 (1987). MSC: 28C20 28E05 60F10 26E35 03H05 60B11 × Cite Format Result Cite Review PDF Full Text: DOI
Yashin, Anatoli I. Martingales in survival analysis. (English) Zbl 0608.60043 Stochastic optimization, Proc. Int. Conf., Kiev/USSR 1984, Lect. Notes Control Inf. Sci. 81, 220-233 (1986). Reviewer: J.M.Stoyanov MSC: 60G35 60G44 × Cite Format Result Cite Review PDF
Kallianpur, Gopinath; Kannan, D.; Karandikar, R. L. Analytic and sequential Feynman integrals on abstract Wiener and Hilbert spaces, and a Cameron-Martin formula. (English) Zbl 0583.60049 Ann. Inst. Henri Poincaré, Probab. Stat. 21, 323-361 (1985). Reviewer: A.Badrikian MSC: 60H05 60B11 28C20 81S40 × Cite Format Result Cite Review PDF Full Text: Numdam EuDML
Azencott, R.; Doss, H. L’équation de Schrödinger quand h tend vers zero: une approche probabiliste. (French) Zbl 0555.60040 Stochastic aspects of classical and quantum systems, Proc. 2nd French- German Encounter Math. Phys., Marseille 1983, Lect. Notes Math. 1109, 1-17 (1985). Reviewer: H.Gzyl MSC: 60H25 60F99 × Cite Format Result Cite Review PDF
Elworthy, David; Truman, Aubrey Feynman maps, Cameron-Martin formulae and anharmonic oscillators. (English) Zbl 0578.28013 Ann. Inst. Henri Poincaré, Phys. Théor. 41, 115-142 (1984). MSC: 28C20 81S40 × Cite Format Result Cite Review PDF Full Text: Numdam EuDML
Cruzeiro, Ana Bela Unicité de solutions d’équations différentielles sur l’espace de Wiener. (French) Zbl 0551.47019 J. Funct. Anal. 58, 335-347 (1984). MSC: 47E05 28C20 34G20 × Cite Format Result Cite Review PDF Full Text: DOI
Thomas, Erik G. F. A simple proof of the Cameron-Martin theorem making use of Schwartz reproducing kernels. (English) Zbl 0591.60008 Bol. Soc. Mat. Mex., II. Ser. 28, 67-76 (1983). Reviewer: H.von Weizsäcker MSC: 60B11 28C20 60G30 60G25 46C99 × Cite Format Result Cite Review PDF
Cruzeiro, Ana Bela Equations différentielles sur l’espace de Wiener et formules de Cameron- Martin non-linéaires. (French) Zbl 0524.47028 J. Funct. Anal. 54, 206-227 (1983). MSC: 47E05 28C20 46E35 34G10 46G05 37C10 × Cite Format Result Cite Review PDF Full Text: DOI
Hibey, Joseph L. Stochastic reliability functions for failure rates derived from Gauss- Markov processes. (English) Zbl 0506.60092 IEEE Trans. Inf. Theory 29, 621-624 (1983). MSC: 60K10 90B25 × Cite Format Result Cite Review PDF Full Text: DOI
Elworthy, David; Truman, Aubrey Classical mechanics, the diffusion (heat) equation and the Schrödinger equation on a Riemannian manifold. (English) Zbl 0485.70024 J. Math. Phys. 22, 2144-2166 (1981). MSC: 70G99 81S40 58D30 70H03 81P20 × Cite Format Result Cite Review PDF Full Text: DOI
Kendall, W. S. Contours of processes with multidimensional times. (English) Zbl 0471.60059 Probability theory, Proc. 6th Conf., Brasov/Romania 1979, 317-318 (1981). MSC: 60G60 60F20 × Cite Format Result Cite Review PDF
Del Grosso, G.; Gerardi, A.; Marchetti, F. A diffusion model for patch formation on cellular surfaces. (English) Zbl 0427.92003 Appl. Math. Optimization 7, 125-135 (1981). MSC: 92B05 60J70 35J25 60H05 47F05 × Cite Format Result Cite Review PDF Full Text: DOI
Elworthy, David; Truman, Aubrey The classical limit of quantum mechanics in a curved space background. (English) Zbl 0484.58030 Functional integration, Theory Appl., Proc. Colloq., Louvain-la- Neuve/Belgium 1979, 65-87 (1980). MSC: 58J65 81Q05 58D30 81S40 60J60 35Q99 × Cite Format Result Cite Review PDF
Kallianpur, Gopinath Stochastic filtering theory. (English) Zbl 0458.60001 Applications of Mathematics, 13. New York - Heidelberg - Berlin: Springer-Verlag. XVI, 316 p. DM 59.50; $ 35.10 (1980). MSC: 60-02 60G35 62M20 93E11 60H10 60J60 60G44 × Cite Format Result Cite Review PDF
Kendall, W. S. Contours of Brownian processes with several-dimensional times. (English) Zbl 0431.60056 Z. Wahrscheinlichkeitstheor. Verw. Geb. 52, 267-276 (1980). MSC: 60G60 60J65 60F20 × Cite Format Result Cite Review PDF Full Text: DOI
Ramasubramanian, S. An elementary proof of Girsanov’s formula. (English) Zbl 0467.60059 Sankhyā, Ser. A 41, 263-270 (1979). MSC: 60H10 × Cite Format Result Cite Review PDF
Stroock, Daniel W.; Varadhan, S. R. Srinivasa Multidimensional diffusion processes. (English) Zbl 0426.60069 Grundlehren der mathematischen Wissenschaften. 233. Berlin, Heidelberg, New York: Springer-Verlag. XII, 338 p. DM 70.00; $ 38.50 (1979). Reviewer: Etienne Pardoux (Marseille) MSC: 60J60 60G44 60H10 60F99 93Exx × Cite Format Result Cite Review PDF