A functional Itō-formula for Dawson–Watanabe superprocesses
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DOI: 10.1016/j.spa.2021.11.003
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- El Karoui, Nicole & Roelly, Sylvie, 1991. "Propriétés de martingales, explosion et représentation de Lévy--Khintchine d'une classe de processus de branchement à valeurs mesures," Stochastic Processes and their Applications, Elsevier, vol. 38(2), pages 239-266, August.
- Dawson, D. A., 1975. "Stochastic evolution equations and related measure processes," Journal of Multivariate Analysis, Elsevier, vol. 5(1), pages 1-52, March.
- Alexander Schied, 2012. "A control problem with fuel constraint and Dawson-Watanabe superprocesses," Papers 1207.5809, arXiv.org, revised Dec 2013.
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Keywords
Functional Itō-Formula; Dawson–Watanabe superprocesses; Measure-valued diffusion; Non-anticipative path differentiation; Dupire formula; Predictable representation;All these keywords.
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