Chaos expansions: applications to a generalized eigenvalue problem for the Malliavin derivative

DOI10.1080/10652469.2010.499734MaRDI QIDQ3074597zbMATH OpenOpenAlexFDO

Authors Tijana Levajković, Stevan Pilipović, Dora Seleši

Publication date 9 February 2011

Published in Integral Transforms and Special Functions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10652469.2010.499734

zbMATH Keywords

chaos expansiongeneralized random processHermite polynomials and functionsMalliavin derivativeOrnstein-Uhlenbeck operatorseries expansions of distributions

Mathematics Subject Classification ID

Other functions defined by series and integrals (33E20) General integral transforms (44A05) Integral transforms in distribution spaces (46F12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) White noise theory (60H40)

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Cites work

• A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• Generalized solutions to abstract stochastic problems
• Hermite expansions and products of tempered distributions
• scientific article; zbMATH DE number 3288021 (Why is no real title available?)
• Stochastic Differential Equations: A Wiener Chaos Approach
• Stochastic partial differential equations driven by purely spatial noise
• The Malliavin Calculus and Related Topics
• Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise

Cited in

(11)

• A tensor approach to higher order expectations of chaotic trajectories. I: General theory and specialization to piecewise affine Markov systems
• Fundamental equations with higher order Malliavin operators
• Chaos expansion for multifractional Lévy processes
• Equations involving Malliavin derivative: a chaos expansion approach
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative. I
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
• Nonhomogeneous First-order Linear Malliavin Type Differential Equation
• Malliavin calculus for generalized and test stochastic processes
• Operator differential-algebraic equations with noise arising in fluid dynamics
• scientific article; zbMATH DE number 5227638 (Why is no real title available?)

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