Title :
Stochastic flows and Malliavin calculus
Author_Institution :
University of Aberdeen, Aberdeen, Scotland
Abstract :
The solution of a stochastic differential equation is considered as a process taking values in the group of diffeomorphisms of the state space. A classification theorem and a support theorem for such random flows are given. A perturbation argument using the Girsanov theorem yields results about the absolute continuity of measures induced by the random flow.
Keywords :
Calculus; Differential equations; Explosions; Extraterrestrial measurements; Fluid flow measurement; Hilbert space; Kernel; State-space methods; Stochastic processes; Topology;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269277
