An It\^o calculus for a class of limit processes arising from random walks on the complex plane
Probability
2016-03-18 v1
Abstract
Within the framework of the previous paper [8]. we develop a generalized stochastic calculus for processes associated to higher order diffusion operators. Applications to the study of a Cauchy problem, a Feynman-Kac formula and a representation formula for higher derivatives of analytic functions are also given.
Keywords
Cite
@article{arxiv.1603.05437,
title = {An It\^o calculus for a class of limit processes arising from random walks on the complex plane},
author = {Stefano Bonaccorsi and Craig Calcaterra and Sonia Mazzucchi},
journal= {arXiv preprint arXiv:1603.05437},
year = {2016}
}