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

DOI10.1080/10652469.2010.499734zbMath1237.60054OpenAlexW2009700370MaRDI QIDQ3074597

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

zbMATH Keywords

Ornstein-Uhlenbeck operatorchaos expansiongeneralized random processMalliavin derivativeHermite polynomials and functionsseries expansions of distributions

Mathematics Subject Classification ID

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

Related Items (5)

The Stochastic LQR Optimal Control with Fractional Brownian Motion ⋮ Operator differential-algebraic equations with noise arising in fluid dynamics ⋮ Nonhomogeneous First-order Linear Malliavin Type Differential Equation ⋮ Fundamental equations with higher order Malliavin operators ⋮ Malliavin calculus for generalized and test stochastic processes

Cites Work

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• Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise
• The Malliavin Calculus and Related Topics
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• Hermite expansions and products of tempered distributions
• Stochastic Partial Differential Equations Driven by Purely Spatial Noise
• A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
• Generalized solutions to abstract stochastic problems
• Stochastic Differential Equations: A Wiener Chaos Approach

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