AbstractWe prove that the logarithm of the formal power series, obtained from a stochastic differential equation, is an element in the closure of the Lie algebra generated by vector fields being coefficients of equations. By using this result, we obtain a representation of the solution of stochastic differential equations in terms of Lie brackets and iterated Stratonovich integrals in the algebra of formal power series
AbstractThis paper develops the stochastic calculus of variations for Hilbert space-valued solutions...
AbstractIn this paper, a simple algebraic expression to evaluate the local linearization scheme for ...
This book provides explicit representations of finite-dimensional simple Lie algebras, related parti...
AbstractWe prove that the logarithm of the formal power series, obtained from a stochastic different...
International audienceWe consider stochastic differential systems driven by continuous semimartingal...
International audienceFor stochastic systems driven by continuous semimartingales an explicit formul...
In the standard modeling of the pricing of options and derivatives as generally understood these day...
AbstractWe find realizations of Lie algebras of "type-H" as vectors fields. These are used in a nove...
In 1982 and 1983 two articles [M. Fliess and F. Lamnabhi-Lagarrigue, J. Math. Phys. 23 (1982), no. 4...
A methodology for constructing conserved quantities with Lie symmetry infinitesimals in an Itô integ...
AbstractLet Xt be a homogeneous Markov process generated by the weak infinitesimal operator A. Let H...
AbstractThis paper presents an operator calculus approach to computing with non-commutative variable...
Representing the solutions of partial differential equations by integrals over function space has be...
We discuss stochastic differential equations with a stiff linear part and their approximation by sto...
We show that the solution to an arbitrary c-number stochastic differential equation (SDE) can be rep...
AbstractThis paper develops the stochastic calculus of variations for Hilbert space-valued solutions...
AbstractIn this paper, a simple algebraic expression to evaluate the local linearization scheme for ...
This book provides explicit representations of finite-dimensional simple Lie algebras, related parti...
AbstractWe prove that the logarithm of the formal power series, obtained from a stochastic different...
International audienceWe consider stochastic differential systems driven by continuous semimartingal...
International audienceFor stochastic systems driven by continuous semimartingales an explicit formul...
In the standard modeling of the pricing of options and derivatives as generally understood these day...
AbstractWe find realizations of Lie algebras of "type-H" as vectors fields. These are used in a nove...
In 1982 and 1983 two articles [M. Fliess and F. Lamnabhi-Lagarrigue, J. Math. Phys. 23 (1982), no. 4...
A methodology for constructing conserved quantities with Lie symmetry infinitesimals in an Itô integ...
AbstractLet Xt be a homogeneous Markov process generated by the weak infinitesimal operator A. Let H...
AbstractThis paper presents an operator calculus approach to computing with non-commutative variable...
Representing the solutions of partial differential equations by integrals over function space has be...
We discuss stochastic differential equations with a stiff linear part and their approximation by sto...
We show that the solution to an arbitrary c-number stochastic differential equation (SDE) can be rep...
AbstractThis paper develops the stochastic calculus of variations for Hilbert space-valued solutions...
AbstractIn this paper, a simple algebraic expression to evaluate the local linearization scheme for ...
This book provides explicit representations of finite-dimensional simple Lie algebras, related parti...