Exploring a Fourier-Malliavin numerical model

DOI10.1007/S40863-016-0052-6zbMath1373.60094OpenAlexW2519652813WikidataQ108387174 ScholiaQ108387174MaRDI QIDQ2404601

Paulo R. Ruffino

Publication date: 19 September 2017

Published in: São Paulo Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40863-016-0052-6

zbMATH Keywords

Wiener integralFourier seriesabstract Wiener spaceFourier-Malliavin numerical model

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cites Work

• Lectures on stochastic differential equations and Malliavin calculus
• Gaussian measures in Banach spaces
• Gaussian measures on linear spaces
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