Equations involving Malliavin calculus operators. Applications and numerical approximation

DOI10.1007/978-3-319-65678-6MaRDI QIDQ5349435zbMATH OpenOpenAlexFDO

Authors Tijana Levajković, Hermann Mena

Publication date 24 August 2017

Published in SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-65678-6

zbMATH Keywords

chaos expansionfractional operator of the Malliavin calculusMalliavin derivativeOrnstein-Uhlenbeck operatorrandom variableSkorokhod integralstochastic differential equationstochastic optimal control problem in infinite dimensionsstochastic partial differential equationstochastic processwhite noise analysisWick-type equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) White noise theory (60H40)

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• A splitting/polynomial chaos expansion approach for stochastic evolution equations
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• Nonhomogeneous First-order Linear Malliavin Type Differential Equation
• Operator-valued kernels, machine learning, and dynamical systems

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