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Decreusefond, L. 1 Ustunel, A. S. 1 Üstünel, A. S. 1
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Journal of Multivariate Analysis 1 Stochastic Processes and their Applications 1
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The Benes equation and stochastic calculus of variations
Decreusefond, L.; Üstünel, A. S. - In: Stochastic Processes and their Applications 57 (1995) 2, pp. 273-284
We focus our attention on the Benes equation which describes the behavior of the virtual waiting time in the most general single queue. Using the reflection theory and the stochastic calculus of variations, we derive new results on this equation. In particular, we give a criterion on the input...
Persistent link: https://www.econbiz.de/10008874082
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Applications of integration by parts formula for infinite-dimensional semimartingales
Ustunel, A. S. - In: Journal of Multivariate Analysis 18 (1986) 2, pp. 287-299
This work is devoted to the study of the behavior of stochastic evolution equations, obtained from stochastic flows, under the multiplicative transformations corresponding to the flows of Cameron-Martin transformations.
Persistent link: https://www.econbiz.de/10005160415
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