Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II

DOI10.2298/PIM1104085LzbMath1265.60129MaRDI QIDQ4899859

Tijana Levajković, Dora Seleši

Publication date: 10 January 2013

Published in: Publications de l'Institut Math?matique (Belgrade) (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck operatorSkorokhod integralfractional Gaussian white noise spacefractional Poissonian white noise space

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40)

Related Items (6)

Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ Solutions of hyperbolic stochastic PDEs on bounded and unbounded domains ⋮ Nonhomogeneous First-order Linear Malliavin Type Differential Equation ⋮ Fundamental equations with higher order Malliavin operators ⋮ The asymptotic error of chaos expansion approximations for stochastic differential equations ⋮ Malliavin calculus for generalized and test stochastic processes

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