Fundamental equations with higher order Malliavin operators

DOI10.1080/17442508.2015.1036434MaRDI QIDQ2803414zbMATH OpenOpenAlexFDO

Authors Tijana Levajković, Stevan Pilipović, Dora Seleši

Publication date 4 May 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2015.1036434

zbMATH Keywords

Malliavin derivativewhite noisechaos expansionOrnstein-Uhlenbeck operatorgeneralized stochastic processesSkorokhod integralMalliavin operators

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) White noise theory (60H40)

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Cites work

• An introduction to infinite-dimensional analysis
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative. I
• Chaos expansions: applications to a generalized eigenvalue problem for the Malliavin derivative
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• Fundamental solutions of singular SPDEs
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• On generalized Malliavin calculus
• On the convergence of generalized polynomial chaos expansions
• On the generalized stochastic Dirichlet problem. I: The stochastic weak maximum principle
• On the generalized stochastic Dirichlet problem. II: Solvability, stability and the Colombeau case
• On unbiased stochastic Navier-Stokes equations
• Stochastic finite elements: Computational approaches to stochastic partial differential equations
• Stochastic integrals for SPDEs: a comparison
• Stochastic partial differential equations. A modeling, white noise functional approach
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• The stochastic Dirichlet problem driven by the Ornstein-Uhlenbeck operator: approach by the Fredholm alternative for chaos expansions
• Wiener chaos solutions of linear stochastic evolution equations

Cited in

(5)

• Malliavin calculus for generalized and test stochastic processes
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
• Equations involving Malliavin derivative: a chaos expansion approach
• Operator differential-algebraic equations with noise arising in fluid dynamics

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