SOME FORMULAE FOR CALCULATION OF THE MEAN DERIVATIVES

M. Yu. Khudiakova

Abstract


The paper continues the study of theoretical issues related to finding mean derivatives of stochastic diffusion processes. A theorem on the existence of the backward mean derivative for L1 random processes in Rn with continuous sample trajectories is proved using an equality based on the properties of conditional expectation. For Ito stochastic processes of diffusion type in Rn, a relation connecting the backward mean derivative with vector fields is proved.

Keywords


mean derivative; second order stochastic differential equations; stochastic algebraic-differential equations

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References


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