Nonhomogeneous First-order Linear Malliavin Type Differential Equation

DOI10.1007/978-3-0348-0585-8_20zbMATH Open1271.60069OpenAlexW181966211MaRDI QIDQ4914484FDOQ4914484

Authors: Tijana Levajković, Dora Seleši 

Publication date: 12 April 2013

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

Full work available at URL: https://doi.org/10.1007/978-3-0348-0585-8_20

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zbMATH Keywords

differential equationMalliavin derivativechaos expansiongeneralized stochastic processpropagator methodnonhomogeneous linear equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) White noise theory (60H40)

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic partial differential equations. A modeling, white noise functional approach
• Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
• Title not available (Why is that?)
• The stochastic Dirichlet problem driven by the Ornstein-Uhlenbeck operator: approach by the Fredholm alternative for chaos expansions
• EXPANSION THEOREMS FOR GENERALIZED RANDOM PROCESSES, WICK PRODUCTS AND APPLICATIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS
• Stochastic Differential Equations: A Wiener Chaos Approach
• Wiener chaos solutions of linear stochastic evolution equations
• Chaos expansions: applications to a generalized eigenvalue problem for the Malliavin derivative
• Generalized functionals in Gaussian spaces: The characterization theorem revisited
• Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise
• Hilbert space valued generalized random processes. I.
• Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
• Hilbert space valued generalized random processes. II.

Cited In (2)

• Fundamental equations with higher order Malliavin operators
• Equations involving Malliavin derivative: a chaos expansion approach

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