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

DOI10.1080/17442508.2011.616207MaRDI QIDQ4648581zbMATH OpenOpenAlexFDO

Authors Paolo Da Pelo, A. Lanconelli

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

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

Abstract: We obtain a new probabilistic representation for the solution of the heat equation in terms of a product for smooth random variables which is introduced and studied in this paper. This multiplication, expressed in terms of the Hida-Malliavin derivatives of the random variables involved, exhibits many useful properties which are to some extents opposite to some peculiar features of the Wick product.

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Cites work

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

Cited in

(7)

• Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme
• Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations
• An Itô formula for a family of stochastic integrals and related Wong-Zakai theorems
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• scientific article; zbMATH DE number 5347026 (Why is no real title available?)
• A note on Gamma Wick products
• Probability representations of solutions to the heat equation

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