Stochastic regularization effects of semi-martingales on random functions
Probability
2015-09-07 v3 Analysis of PDEs
Functional Analysis
Abstract
In this paper we address an open question formulated in [17]. That is, we extend the It{\^o}-Tanaka trick, which links the time-average of a deterministic function f depending on a stochastic process X and F the solution of the Fokker-Planck equation associated to X, to random mappings f. To this end we provide new results on a class of adpated and non-adapted Fokker-Planck SPDEs and BSPDEs.
Cite
@article{arxiv.1507.05579,
title = {Stochastic regularization effects of semi-martingales on random functions},
author = {Romain Duboscq and Anthony Réveillac},
journal= {arXiv preprint arXiv:1507.05579},
year = {2015}
}