Stochastic Differential Equations: A Wiener Chaos Approach

DOI10.1007/978-3-540-30788-4_23zbMath1178.60048arXivmath/0504559OpenAlexW2140135904MaRDI QIDQ5493560

Sergey Lotosky, Boris L. Rosovskii

Publication date: 23 October 2006

Published in: From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0504559

zbMATH Keywords

anticipating equations, generalized random elements, degenerate parabolic equations, Malliavin calculus, passive scalar equation, Skorohod integral, S-transform, weighted spaces

Mathematics Subject Classification ID

White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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