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Title: | Taylor expansion of the density in a stochastic heat equation |
Author: | Márquez, David (Márquez Carreras) Sanz-Solé, Marta |
Keywords: | Equacions integrals estocàstiques Càlcul de Malliavin Stochastic differential equations Malliavin calculus |
Issue Date: | 1998 |
Publisher: | Universitat de Barcelona |
Abstract: | We prove a general result on asymptotic expansions of densities for families of perturbed Wiener functionals. As an application, we consider a stochastic heat equation driven by a space-time white noise εW˙ t,x, ε ∈ (0, 1]. The main theorem describes the asymptotics, as ε ↓ 0, of the density pε t,x(y) of the solution at a fixed point (t, x) for some particular value y ∈ R, which, in the diffusion case, plays the role of the diagonal. |
Note: | Reproducció del document publicat a: http://www.collectanea.ub.edu/index.php/Collectanea/article/view/3949/4789 |
It is part of: | Collectanea Mathematica, 1998, vol. 49, num. 2-3, p. 399-415 |
URI: | http://hdl.handle.net/2445/16907 |
ISSN: | 0610-0757 |
Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
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