10. A FORMULA FOR THE SECOND ORDER BACKWARD MEAN DERIVAVES


Author: SVETLANA AZARINA                                                                 DOWNLOAD                                                                                                                                                                                                                                                                                   


How to Cite:



Azarina, Svetlana. "A Formula for the Second Order Backward Mean Derivatives." Global and Stochastic Analysis,

vol. 12, no. 5, 2025, pp. 79–83.




Abstract



We study second order backward mean derivatives and compute them for some Itoˆ diffusion processes. It is also

possible to do using backward Ito-Vˆ entzell formula. We compute these derivatives along the Wiener process.
 



Keywords


Key words and phrases. mean derivatives; diffusion process; brownian motion.