Within the framework of the previous paper (Bonaccorsi and Mazzucchi, 2015), 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.
An Itô calculus for a class of limit processes arising from random walks on the complex plane / Bonaccorsi, Stefano; Calcaterra, Craig; Mazzucchi, Sonia. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 127:9(2017), pp. 2816-2840. [10.1016/j.spa.2016.12.009]
An Itô calculus for a class of limit processes arising from random walks on the complex plane
Bonaccorsi, Stefano;Mazzucchi, Sonia
2017-01-01
Abstract
Within the framework of the previous paper (Bonaccorsi and Mazzucchi, 2015), 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.| File | Dimensione | Formato | |
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