{"title":"求解带有半鞅噪声的方程","authors":"Jonathan Gutierrez-Pavón, Carlos G. Pacheco","doi":"10.1515/rose-2021-2070","DOIUrl":null,"url":null,"abstract":"Abstract In this work we focus on a method for solving equations with a coefficient formally given in terms of the derivative of a continuous semimartingale. This generalizes the case of coefficients being the white noise. The idea for solving the equation is to find explicitly the inverse of the ill-posed differential operator, which boils down to finding the associated Green kernel. To find the kernel we give explicitly two homogeneous solutions in terms of the so-called Dolean–Dade exponential. The general idea to define rigorously differential operators lies on dealing with them through bilinear forms. We give several examples with explicit calculations.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"33 - 38"},"PeriodicalIF":0.3000,"publicationDate":"2022-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Solving equations with semimartingale noise\",\"authors\":\"Jonathan Gutierrez-Pavón, Carlos G. Pacheco\",\"doi\":\"10.1515/rose-2021-2070\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract In this work we focus on a method for solving equations with a coefficient formally given in terms of the derivative of a continuous semimartingale. This generalizes the case of coefficients being the white noise. The idea for solving the equation is to find explicitly the inverse of the ill-posed differential operator, which boils down to finding the associated Green kernel. To find the kernel we give explicitly two homogeneous solutions in terms of the so-called Dolean–Dade exponential. The general idea to define rigorously differential operators lies on dealing with them through bilinear forms. We give several examples with explicit calculations.\",\"PeriodicalId\":43421,\"journal\":{\"name\":\"Random Operators and Stochastic Equations\",\"volume\":\"30 1\",\"pages\":\"33 - 38\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2022-01-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Random Operators and Stochastic Equations\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/rose-2021-2070\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Random Operators and Stochastic Equations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/rose-2021-2070","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Abstract In this work we focus on a method for solving equations with a coefficient formally given in terms of the derivative of a continuous semimartingale. This generalizes the case of coefficients being the white noise. The idea for solving the equation is to find explicitly the inverse of the ill-posed differential operator, which boils down to finding the associated Green kernel. To find the kernel we give explicitly two homogeneous solutions in terms of the so-called Dolean–Dade exponential. The general idea to define rigorously differential operators lies on dealing with them through bilinear forms. We give several examples with explicit calculations.