Abstract
We develop Wick calculus over finite probability spaces and prove that there is a one-to-one correspondence between the solutions of Wick stochastic functional equations and the solutions of the deterministic functional equations obtained by ‘turning off’ the noise. We also point out some possible applications to ordinary and partial stochastic differential equations.
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This research is supported by VISTA, a research cooperation between the Norwegian Academy of Science and Letters and Den Norske Stats Oljeselskap a.s. (STATOIL).
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Holden, H., Lindstrøm, T., Øksendal, B. et al. Discrete wick calculus and stochastic functional equations. Potential Anal 1, 291–306 (1992). https://doi.org/10.1007/BF00269512
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DOI: https://doi.org/10.1007/BF00269512