Fundamental equations with higher order Malliavin operators

DOI10.1080/17442508.2015.1036434zbMath1337.60113OpenAlexW2343099561MaRDI QIDQ2803414

Stevan Pilipović, Dora Seleši, Tijana Levajković

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1036434

zbMATH Keywords

white noiseOrnstein-Uhlenbeck operatorchaos expansionSkorokhod integralMalliavin derivativegeneralized stochastic processesMalliavin operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach ⋮ The Stochastic LQR Optimal Control with Fractional Brownian Motion ⋮ Operator differential-algebraic equations with noise arising in fluid dynamics ⋮ Malliavin calculus for generalized and test stochastic processes

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