Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II | Zendy

Tijana Levajković | Zendy; Dora Seleši | Zendy

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Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II

Author(s) -

Tijana Levajković,

Dora Seleši

Publication year - 2011

Publication title -

publications de l institut mathematique

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.246

H-Index - 17

eISSN - 1820-7405

pISSN - 0350-1302

DOI - 10.2298/pim1104085l

Subject(s) - white noise , malliavin calculus , mathematics , additive white gaussian noise , gaussian , stochastic differential equation , gaussian noise , mathematical analysis , derivative (finance) , differential equation , stochastic partial differential equation , physics , quantum mechanics , algorithm , statistics , financial economics , economics

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.

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