Fundamental equations with higher order Malliavin operators

DOI10.1080/17442508.2015.1036434zbMATH Open1337.60113OpenAlexW2343099561MaRDI QIDQ2803414FDOQ2803414

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

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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)

Cites Work

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

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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