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Title: Expansion of the density: a Wiener-chaos approach
Author: Márquez, David (Márquez Carreras)
Sanz-Solé, Marta
Keywords: Equacions diferencials estocàstiques
Càlcul de Malliavin
Malliavin calculus
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:
It is part of: Bernoulli, 1999, vol. 5, núm. 2, p. 257-274
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ISSN: 1350-7265
Appears in Collections:Articles publicats en revistes (Matemàtiques i Informàtica)

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