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

DOI10.1080/10652469.2010.499734zbMATH Open1237.60054OpenAlexW2009700370MaRDI QIDQ3074597FDOQ3074597

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

Malliavin derivativechaos expansionOrnstein-Uhlenbeck operatorgeneralized random processHermite polynomials and functionsseries expansions of distributions

Mathematics Subject Classification ID

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

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(11)

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• Malliavin calculus for generalized and test stochastic processes
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
• Equations involving Malliavin derivative: a chaos expansion approach
• Nonhomogeneous First-order Linear Malliavin Type Differential Equation
• Chaos expansion for multifractional Lévy processes
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative. I
• A tensor approach to higher order expectations of chaotic trajectories. I: General theory and specialization to piecewise affine Markov systems
• Operator differential-algebraic equations with noise arising in fluid dynamics

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