Chaotic extensions and the lent particle method for Brownian motion
نویسندگان
چکیده
Abstract: In previous works, we have developed a new Malliavin calculus on the Poisson space based on the lent particle formula. The aim of this work is to prove that, on the Wiener space for the standard Ornstein-Uhlenbeck structure, we also have such a formula which permits to calculate easily and intuitively the Malliavin derivative of a functional. Our approach uses chaos extensions associated to stationary processes of rotations of normal martingales.
منابع مشابه
Effects of Brownian motion and Thermophoresis on MHD Mixed Convection Stagnation-point Flow of a Nanofluid Toward a Stretching Vertical Sheet in Porous Medium
This article deals with the study of the two-dimensional mixed convection magnetohydrodynamic (MHD) boundary layer of stagnation-point flow over a stretching vertical plate in porous medium filled with a nanofluid. The model used for the nanofluid incorporates the effects of Brownian motion and thermophoresis in the presence of thermal radiation. The skin-friction coefficient, Nusselt number an...
متن کاملCFD simulations on natural convection heat transfer of alumina-water nanofluid with Brownian motion effect in a 3-D enclosure
The CFD simulation has been undertaken concerning natural convection heat transfer of a nanofluid in vertical square enclosure, whose dimension, width height length (mm), is 40 40 90, respectively. The nanofluid used in the present study is -water with various volumetric fractions of the alumina nanoparticles ranging from 0-3%. The Rayleigh number is . Fluent v6.3 is used to simulate nanofluid ...
متن کاملThe Effects of Different SDE Calculus on Dynamics of Nano-Aerosols Motion in Two Phase Flow Systems
Langevin equation for a nano-particle suspended in a laminar fluid flow was analytically studied. The Brownian motion generated from molecular bombardment was taken as a Wiener stochastic process and approximated by a Gaussian white noise. Euler-Maruyama method was used to solve the Langevin equation numerically. The accuracy of Brownian simulation was checked by performing a series of simulati...
متن کاملSuppression of Chaotic Behavior in Duffing-holmes System using Backstepping Controller Optimized by Unified Particle Swarm Optimization Algorithm
The nonlinear behavior analysis and chaos control for Duffing-Holmes chaotic system is discussed in the paper. In order to suppress the irregular chaotic motion, an optimal backstepping controller is designed. The backstepping method consists of parameters with positive values. The improper selection of the parameters leads to inappropriate responses or even may lead to instability of the syste...
متن کاملChaos, Dissipation and Quantal Brownian Motion
— Quantum dissipation, the theory of energy spreading and quantal Brownian motion are considered. In the first part of these lecture-notes we discuss the classical theory of a particle that interacts with chaotic degrees of freedom: • The Sudden and the Adiabatic approximations; • The route to stochastic behavior; • The fluctuation-dissipation relation; • And the application to the ‘piston’ exa...
متن کامل