Introduction to White Noise, Hida-Malliavin Calculus and Applications

MaRDI QIDQ6315219zbMATH OpenFDO

Authors N. Agram, B. Øksendal

Publication date 7 March 2019

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)

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.

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