An It\^o calculus for a class of limit processes arising from random walks on the complex plane

Stefano Bonaccorsi; Craig Calcaterra; Sonia Mazzucchi

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arXiv · 1603.05437

An It\^o calculus for a class of limit processes arising from random walks on the complex plane

Stefano Bonaccorsi·Craig Calcaterra·Sonia Mazzucchi

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Abstract

Within the framework of the previous paper [8]. 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.

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Stefano Bonaccorsi, Craig Calcaterra, Sonia Mazzucchi. 2016-03-17. An It\^o calculus for a class of limit processes arising from random walks on the complex plane. https://arxiv.org/abs/1603.05437

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