Geodesic
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part II
Publications de l'Institut Mathématique, _N_S_90 (2011) no. 104, p. 85

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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.
Classification : 60H40 60H10 60H07 60G20
Keywords: Gaussian white noise space, Poissonian white noise space, fractional Gaussian white noise space, fractional Poissonian white noise space, series expansion, Malliavin derivative, Skorokhod integral, Ornstein-Uhlenbeck operator, stochastic differential equation 
@article{PIM_2011_N_S_90_104_a5,
     author = {Tijana Levajkovi\'c and Dora Sele\v{s}i},
     title = {Chaos {Expansion} {Methods} for {Stochastic} {Differential} {Equations} {Involving} the {Malliavin} {Derivative{\textendash}Part} {II}},
     journal = {Publications de l'Institut Math\'ematique},
     pages = {85 },
     publisher = {mathdoc},
     volume = {_N_S_90},
     number = {104},
     year = {2011},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/PIM_2011_N_S_90_104_a5/}
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Tijana Levajković; Dora Seleši. Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part II. Publications de l'Institut Mathématique, _N_S_90 (2011) no. 104, p. 85 . http://geodesic.mathdoc.fr/item/PIM_2011_N_S_90_104_a5/