Introduction to White Noise, Hida-Malliavin Calculus and Applications

arXiv1903.02936MaRDI QIDQ6315219FDOQ6315219

Authors: N. Agram, B. Øksendal 

Publication date: 7 March 2019

Abstract: The purpose of these lectures is threefold: We first give a short survey of the Hida white noise calculus, and in this context we introduce the Hida-Malliavin derivative as a stochastic gradient with values in the Hida stochastic distribution space $(mathcalS\mathrm{\%}{)}^{\ast }$. We show that this Hida-Malliavin derivative defined on $L^2(mathcal{F}_T,P)$ is a natural extension of the classical Malliavin derivative defined on the subspace $mathbb{D}_{1,2}$ of $L^2(P)$. The Hida-Malliavin calculus allows us to prove new results under weaker assumptions than could be obtained by the classical theory. In particular, we prove the following: (i) A general integration by parts formula and duality theorem for Skorohod integrals, (ii) a generalised fundamental theorem of stochastic calculus, and (iii) a general Clark-Ocone theorem, valid for all $Fin{L}^2(mathcal{F}_T,P)$. As applications of the above theory we prove the following: A general representation theorem for backward stochastic differential equations with jumps, in terms of Hida-Malliavin derivatives; a general stochastic maximum principle for optimal control; backward stochastic Volterra integral equations; optimal control of stochastic Volterra integral equations and other stochastic systems.

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

This page was built for publication: Introduction to White Noise, Hida-Malliavin Calculus and Applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6315219)