Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/23364
Title: Expansion of the density: a Wiener-chaos approach
Author: Márquez, David (Márquez Carreras)
Sanz, Marta
Keywords: Equacions diferencials estocàstiques
Càlcul de Malliavin
Probabilitats
Malliavin calculus
Probabilities
Stochastic differential equations
Issue Date: 1999
Publisher: Bernoulli Society for Mathematical Statistics and Probability
Abstract: We prove a Taylor expansion of the density pε(y) of a Wiener functional Fε with Wiener-chaos decomposition Fε=y+∑∞n=1εnIn(fn), ε∈(0,1]. Using Malliavin calculus, a precise description of the coefficients in the development in terms of the multiple integrals In(fn) is provided. This general result is applied to the study of the density in two examples of hyperbolic stochastic partial differential equations with linear coefficients, where the driving noise has been perturbed by a coefficient ε.
Note: Reproducció del document publicat a: https://projecteuclid.org/euclid.bj/1173147906
It is part of: Bernoulli, 1999, vol. 5, núm. 2, p. 257-274
Related resource: https://projecteuclid.org/euclid.bj/1173147906
URI: http://hdl.handle.net/2445/23364
ISSN: 1350-7265
Appears in Collections:Articles publicats en revistes (Matemàtiques i Informàtica)

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