Stochastic variation of constants formula for infinite dimensional equations

DOI10.1080/07362999908809616zbMath0947.60067OpenAlexW1983866830MaRDI QIDQ4261528

Stefano Bonaccorsi

Publication date: 6 November 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999908809616

zbMATH Keywords

Malliavin calculusmild solutionSkorokhod integralinfinite-dimensional stochastic differential equationsvariation of constantslinear inhomogeneous stochastic equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Controllability and observability of stochastic implicit systems and stochastic GE-evolution operator ⋮ Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case ⋮ Stochastically bounded solutions and stationary solutions of stochastic differential equations in Hilbert spaces ⋮ Nonlinear stochastic differential equations in infinite dimensions

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic calculus of variations for stochastic partial differential equations
• L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel
• Anticipating Hilbert integrals with respect to a cylindrical Wiener process and associated stochastic calculus
• Stochastic evolution equations with random generators
• Stability in fully nonlinear parabolic equations
• Anticipating stochastic Volterra equations
• On the semigroup approach to stochastic evolution equations