- 95-20 Jona-Lasinio G., Seneor R.
- Study of stochastic differential
equations by constructive methods. I.
(191K, uuencoded, gzip-compressed Postscript file)
Jan 23, 95
(auto. generated ps),
of related papers
Abstract. In this work we give an algorithm to express as a convergent series
the stationary averages for a class of gradient perturbations of a non symmetric
(non gradient) Orstein-Uhlenbeck process. The method relies on a cluster expansion in
time of the Girsanov-Cameron-Martin formula for the density of the perturbed
measure with respect to the Orstein-Uhlenbeck measure. In the second paper of
this series, the approach is extended to more general perturbations.