Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
نویسندگان
چکیده
منابع مشابه
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–part Ii
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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We consider Gaussian, Poissonian, fractional Gaussian and fractional Poissonian white noise spaces, all represented through the corresponding orthogonal basis of the Hilbert space of random variables with finite second moments, given by the Hermite and the Charlier polynomials. There exist unitary mappings between the Gaussian and Poissonian white noise spaces. We investigate the relationship o...
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ژورنال
عنوان ژورنال: Publications de l'Institut Mathematique
سال: 2011
ISSN: 0350-1302,1820-7405
DOI: 10.2298/pim1104085l