10. A FORMULA FOR THE SECOND ORDER BACKWARD MEAN DERIVAVES
Azarina, Svetlana. "A Formula for the Second Order Backward Mean Derivatives." Global and Stochastic Analysis,
vol. 12, no. 5, 2025, pp. 79–83.
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.