Equations Involving Malliavin Calculus Operators

DOI10.1007/978-3-319-65678-6zbMath1388.60007OpenAlexW4243373887MaRDI QIDQ5349435

Tijana Levajković, Hermann Mena

Publication date: 24 August 2017

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-65678-6

zbMATH Keywords

stochastic differential equationwhite noise analysisstochastic processstochastic partial differential equationOrnstein-Uhlenbeck operatorrandom variablechaos expansionSkorokhod integralMalliavin derivativefractional operator of the Malliavin calculusstochastic optimal control problem in infinite dimensionsWick-type equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Existence of optimal solutions to problems involving randomness (49J55)

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