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Calcul des variations stochastique et processus de sauts. (French) Zbl 0494.60082


MSC:

60J75 Jump processes (MSC2010)
60H05 Stochastic integrals
65H10 Numerical computation of solutions to systems of equations
60J35 Transition functions, generators and resolvents
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[1] Bismut, J. M., Mécanique aléatoire, Lecture Notes in Math. 866 (1981), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York · Zbl 0457.60002
[2] Bismut, J. M., A generalized formula of Ito and some other properties of stochastic flows, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 55, 331-350 (1981) · Zbl 0456.60063
[3] Bismut, J. M., Martingales, the Malliavin calculus and hypoellipticity under general Hörmander’s conditions, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 56, 469-505 (1981) · Zbl 0445.60049
[4] Bismut, J. M.; Michel, D., Structure des diffusions conditionnelles et calcul des variations, C.R. Acad. Sci. Paris, 292, 731-734 (1981) · Zbl 0464.60061
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[14] Malliavin, P., Stochastic calculus of variations and hypoelliptic operators, 195-263 (1978), Tokyo-Kinokuniya and New York: Wiley, Tokyo-Kinokuniya and New York · Zbl 0411.60060
[15] Malliavin, P.; Friedman, A.; Pinsky, M., C^khypoellipticity with degeneracy. Stochastic analysis, 199-214 (1978), New York-London: Acad. Press, New York-London · Zbl 0449.58022
[16] Meyer, P. A., Un cours sur les intégrales stochastiques. Sém. Probabilités no. 10, Lecture Notes in Math. 511, 245-400 (1976), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York · Zbl 0374.60070
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[22] Tucker, H. G., Absolute continuity of infinitely divisible distributions, Pacific J. Math., 12, 1125-1129 (1962) · Zbl 0109.36503
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[29] Billingsley, P., Convergence of probability measures (1968), New York: Wiley, New York · Zbl 0172.21201
[30] Jacod, J.; Yor, M., Étude des solutions extrémales et représentation intégrale des solutions pour certains problèmes de martingales, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 38, 83-125 (1977) · Zbl 0346.60032
[31] Kobayashi, S.; Nomizu, K., Foundations of differential geometry. Vol. I (1963), New York: Interscience, New York · Zbl 0119.37502
[32] Karamata, J., Neuer Beweis und verallgemeinerung der Tauberschen Sätze, welche die Laplacesche und Stieltjessche Transformation betreffen, J. Reine Angew. Math., 164, 27-39 (1931) · JFM 57.0262.01
[33] Bismut, J.M.: The calculus of boundary processes. To appear · Zbl 0561.60081
[34] Bismut, J. M., Calcul des variations sur les processus de sauts, C.R. Acad. Sci. Paris, Série I, 293, 565-568 (1981) · Zbl 0484.60067
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