Expansion of the density: A Wiener-chaos approach (Q1290375)
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English | Expansion of the density: A Wiener-chaos approach |
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Expansion of the density: A Wiener-chaos approach (English)
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8 November 1999
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A Wiener functional with Wiener chaos decomposition \(F^\varepsilon=y+\sum_{n=1}^\infty\varepsilon^nI_n(f_n)\) depends on a small parameter \(\varepsilon\). Assuming that the variable \(F=F^1\) belongs to appropriate Sobolev spaces, it is proved that \(F^\varepsilon\) is smooth with respect to \(\varepsilon\). Then, under a nondegeneracy condition on the Malliavin matrix of \(F^\varepsilon\), an expansion for the density \(p^\varepsilon\) taken at the mean value \(y\) is obtained. Finally, this result is applied to two classes of hyperbolic stochastic partial differential equations with small noise.
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Malliavin calculus
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probability densities
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stochastic partial differential equations
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Wiener functionals
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