Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs

DOI10.1016/S0304-4149(97)00041-0zbMATH Open0911.60047OpenAlexW2042761304MaRDI QIDQ1275944FDOQ1275944

Pierre-Luc Morien

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00041-0

zbMATH Keywords

Malliavin calculusparabolic stochastic partial differential equationsweakly interacting SDEs

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Malliavin calculus for white noise driven parabolic SPDEs
• Propagation of chaos and fluction for a system of weakly interacting white noise driven parabolic spde's

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