Equations Involving Malliavin Derivative: A Chaos Expansion Approach

DOI10.1007/978-3-319-14618-8_14zbMath1330.60070OpenAlexW774871686MaRDI QIDQ3460374

Tijana Levajković, Hermann Mena

Publication date: 7 January 2016

Published in: Pseudo-Differential Operators and Generalized Functions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-14618-8_14

zbMATH Keywords

stochastic differential equationGaussian processWick productchaos expansionMalliavin derivativestochastic Galerkin methodgeneralized stochastic processeswhite noise spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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