An Itô calculus for a class of limit processes arising from random walks on the complex plane

Stefano Bonaccorsi, Craig Calcaterra and Sonia Mazzucchi

Stochastic Processes and their Applications, 2017, vol. 127, issue 9, 2816-2840

Abstract: Within the framework of the previous paper (Bonaccorsi and Mazzucchi, 2015), we develop a generalized stochastic calculus for processes associated to higher order diffusion operators. Applications to the study of a Cauchy problem, a Feynman–Kac formula and a representation formula for higher derivatives of analytic functions are also given.

Keywords: Generalized Itô calculus; Probabilistic representation of solutions of PDEs; Stochastic processes on the complex plane (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spa.2016.12.009

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