Some Results of Backward It Formula

Authors: Giuseppe Da Prato ^a; Jose-Luis Menaldi ^b; Luciano Tubaro ^c

Affiliations:	^a Scuola Normale Superiore, Pisa, Italia
	^b Department of Mathematics, Wayne State University, Detroit, Michigan, USA
	^c Dipartimento di Matematica, Universit di Trento, Trento, Italia

DOI: 10.1080/07362990701283045

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 25, Issue 3 May 2007 , pages 679 - 703

Subjects: Statistics & Probability; Stochastic Models & Processes;

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Abstract

We use the notion of backward integration, with respect to a general L eacute

vy process, to treat, in a simpler and unifying way, various classical topics as: Girsanov theorem, first order partial differential equations, the Liouville (or Lyapunov) equations and the stochastic characteristic method.

Keywords: Backward stochastic integration; Stochastic differential equations

Mathematics Subject Classification: 60H10 (60H05)

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Some Results of Backward It Formula

Abstract