Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs

DOI10.1016/S0304-4149(97)00041-0zbMath0911.60047OpenAlexW2042761304MaRDI QIDQ1275944

Pierre-Luc Morien

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00041-0

zbMATH Keywords

Malliavin calculusparabolic stochastic partial differential equationsweakly interacting SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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• Semimartingales: A course on stochastic processes
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• Approximation and support theorem in Hölder norm for parabolic stochastic partial differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
• Propagation of chaos and fluction for a system of weakly interacting white noise driven parabolic spde's

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