Stochastic Differential Equations: A Wiener Chaos Approach

DOI10.1007/978-3-540-30788-4_23MaRDI QIDQ5493560zbMATH OpenOpenAlexFDO

Authors Sergey Lotosky, B. Rozovskii

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

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

Abstract: A new method is described for constructing a generalized solution for stochastic differential equations. The method is based on the Cameron-Martin version of the Wiener Chaos expansion and provides a unified framework for the study of ordinary and partial differential equations driven by finite- or infinite-dimensional noise with either adapted or anticipating input. Existence, uniqueness, regularity, and probabilistic representation of this Wiener Chaos solution is established for a large class of equations. A number of examples are presented to illustrate the general constructions. A detailed analysis is presented for the various forms of the passive scalar equation and for the first-order It^{o} stochastic partial differential equation. Applications to nonlinear filtering if diffusion processes and to the stochastic Navier-Stokes equation are also discussed.

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