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arXiv · 1507.05579

Stochastic regularization effects of semi-martingales on random functions

Romain Duboscq·Anthony Réveillac
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Abstract

In this paper we address an open question formulated in [17]. That is, we extend the It{\^o}-Tanaka trick, which links the time-average of a deterministic function f depending on a stochastic process X and F the solution of the Fokker-Planck equation associated to X, to random mappings f. To this end we provide new results on a class of adpated and non-adapted Fokker-Planck SPDEs and BSPDEs.

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Romain Duboscq, Anthony Réveillac. 2015-07-20. Stochastic regularization effects of semi-martingales on random functions. https://arxiv.org/abs/1507.05579

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