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3 matches found
XIV: 24, 209-219, LNM 784 (1980)
PELLAUMAIL, Jean
Remarques sur l'intégrale stochastique (Stochastic calculus)
This is an exposition of stochastic integrals and stochastic differential equations for Banach space valued processes along the lines of Métivier-Pellaumail Stochastic Integration (1980), the class of semimartingales being defined by the Métivier-Pellaumail inequality (1413)
Keywords: Stochastic integrals, Stochastic differential equations, Métivier-Pellaumail inequality
Nature: Exposition
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XV: 38, 561-586, LNM 850 (1981)
PELLAUMAIL, Jean
Solutions faibles et semi-martingales (Stochastic calculus, General theory of processes)
From the author's summary: ``we consider a stochastic differential equation $dX=a(X)\,dZ$ where $Z$ is a semimartingale and $a$ is a previsible functional which is continuous for the uniform norm. We prove the existence of a weak solution for such an equation''. The important point is the definition of a weak solution: it turns out to be a ``fuzzy process'' in the sense of 1536, i.e., a fuzzy r.v. taking values in the Polish space of cadlag sample functions
Keywords: Stochastic differential equations, Weak solutions, Fuzzy random variables
Nature: Original
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XVI: 42, 469-489, LNM 920 (1982)
PELLAUMAIL, Jean
Règle maximale
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