Publications de l'Institut Mathématique, Nouvelle Série Vol. 90(105), pp. 85–98 (2011) 

CHAOS EXPANSION METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MALLIAVIN DERIVATIVE–PART IITijana Levajkovic and Dora SelesiDepartment of Mathematics and Informatics, Faculty of Traffic and Transport Engineering, University of Belgrade, Serbia; Department of Mathematics and Informatics, Faculty of Science, University of Novi Sad, SerbiaAbstract: We solve stochastic differential equations involving the Malliavin derivative and the fractional Malliavin derivative by means of a chaos expansion on a general white noise space (Gaussian, Poissonian, fractional Gaussian and fractional Poissonian white noise space). There exist unitary mappings between the Gaussian and Poissonian white noise spaces, which can be applied in solving SDEs. Keywords: Gaussian white noise space, Poissonian white noise space, fractional Gaussian white noise space, fractional Poissonian white noise space, series expansion, Malliavin derivative, Skorokhod integral, Ornstein–Uhlenbeck operator, stochastic differential equation Classification (MSC2000): 60H40, 60H10, 60H07, 60G20 Full text of the article: (for faster download, first choose a mirror)
Electronic fulltext finalized on: 16 Nov 2011. This page was last modified: 30 Nov 2011.
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