Now showing items 1-4 of 4

  • Lanconelli, Alberto; Proske, Frank (Research report / Forskningsrapport, 2003)
    We give an explicit representation of strong solutions of Itô-SDE's in Hilbert spaces in terms of a non linear operation on a stochastic distribution space. This formula can be potentially used to obtain solutions of SDE's ...
  • Lanconelli, Alberto; Proske, Frank (Research report / Forskningsrapport, 2004)
    We develop a new method to study the existence of global strong solutions of stochastic differential equations with non-Lipschitzian coefficients driven by a Brownian motion. We derive explicit formulas for strong solutions ...
  • Lanconelli, Alberto; Proske, Frank (Research report / Forskningsrapport, 2003)
    We determine a new explicit representation of the strong solution of Itô-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta ...
  • Lanconelli, Alberto (Research report / Forskningsrapport, 2003)
    The purpose of this paper is to establish a relation between Wick version of analytic functions with respect to the brownian motion and its associated semigroup.