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

DOI10.1080/10652469.2010.499734zbMATH Open1237.60054OpenAlexW2009700370MaRDI QIDQ3074597FDOQ3074597

Stevan Pilipović, Tijana Levajković, 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

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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)

Cites Work

• The Malliavin Calculus and Related Topics
• A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
• Title not available (Why is that?)
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• Stochastic Differential Equations: A Wiener Chaos Approach
• Hermite expansions and products of tempered distributions
• Generalized solutions to abstract stochastic problems
• Stochastic partial differential equations driven by purely spatial noise
• Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise

Cited In (8)

• Title not available (Why is that?)
• Fundamental equations with higher order Malliavin operators
• 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
• Nonhomogeneous First-order Linear Malliavin Type Differential Equation
• 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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