On a new probabilistic representation for the solution of the heat equation

DOI10.1080/17442508.2011.616207zbMath1255.60111arXiv1002.4269OpenAlexW2029405643MaRDI QIDQ4648581

Alberto Lanconelli, Paolo Da Pelo

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.4269

zbMATH Keywords

heat equationHida-Malliavin derivativesecond quantization operatorssmooth random variables

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (3)

An Itô formula for a family of stochastic integrals and related Wong-Zakai theorems ⋮ A note on Gamma Wick products ⋮ Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations

Cites Work

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• Wick calculus for nonlinear Gaussian functionals
• White noise calculus and Fock space
• On a dual pair of spaces of smooth and generalized random variables
• Wick product and backward heat equation

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